I am moving our web site to Azure, running on a Windows Server 2012 VM. I have purchased a wildcard SSL cert from GoDaddy and it has been installed and configured on the VM. I
When I set up the endpoint for SSL, I had checked the box for "Enable Direct Server Return." This setting prevented SSL from working. I haven't come across any documentation explaining why it behaves this way. Removing the endpoint and creating it without direct server return enabled fixed the problem.
Make sure you open up the endpoint for 443 to route it through to your VMs. See http://www.windowsazure.com/en-us/develop/net/common-tasks/enable-ssl/