For a database hosted on Azure, i can view the recent history of the queries performed on it. This is through the Azure portal > Database > Manage > Administration > Que
Here is a query I found useful to see the most executed queries on my Azure SQL Server database:
SELECT TOP 10 execution_count, statement_text
FROM (
SELECT QS.*,
SUBSTRING(
ST.text,
(QS.statement_start_offset/2) + 1,
((
CASE statement_end_offset
WHEN -1 THEN DATALENGTH(st.text)
ELSE QS.statement_end_offset END
- QS.statement_start_offset
) /2)
+ 1
) AS statement_text
FROM sys.dm_exec_query_stats AS QS
CROSS APPLY sys.dm_exec_sql_text(QS.sql_handle) as ST
) AS query_stats
WHERE statement_text LIKE 'UPDATE%'
ORDER BY execution_count DESC
Source: March Madness - SQL Azure - sys.dm_exec_query_plan | SQLRockstar | Thomas LaRock
Windows Azure SQL Database offers dynamic management views (DMVs) that return server state information that can be used to monitor the health of a server instance, diagnose problems, and tune performance.
For a list of available views refer to System Views (Windows Azure SQL Database).
For examples of how to find CPU-intensive queries, long-running queries and I/O intensive queries refer to Tuning SQL Azure Databases, Part 2.
For additional troubleshooting tips refer to Troubleshoot and Optimize Queries with Windows Azure SQL Database, Improving Your I/O Performance, Gaining Performance Insight into Windows Azure SQL Database, Troubleshooting Windows Azure SQL Database, Finding Blocking Queries in SQL Azure, March Madness – SQL Azure – sys.dm_exec_query_stats.
Also consider profiling at the application level, for instance as explained in Profiling Database Activity in the Entity Framework and Query Profiling SQL Azure when using Entity Framework or Linq-to-SQL.
For advanced monitoring consider deploying Windows Azure SQL Database Management Pack for System Center 2012.