We have a web based (ASP.NET MVC) application that uses SQL Server 2008 for its database.
Because the data is important to us (and our clients), we have a Backup &a
There is one project on codeplex that is making possible to have a worker role to be acting as a backup agent.
I wrote a blog post on backing up your SQL Azure DB to a blog file using nothing more complex than some free command line tools and the windows task scheduler, should save you some money and hassle :-)
https://iainhunter.wordpress.com/2012/08/21/sql-azure-disaster-recovery/
In addition to the options that Joe has mentioned you can also use DAC as mentioned here. It is a little out of date as you can now import/export BACPAC files from blob storage in the portal.
Backup/restore is a whole different animal in SQL Azure as the traditional backup/restore commands are not available. See the article SQL Azure Backup and Restore Strategy for a good overview and then read Copying Databases in SQL Azure. Also take a look at redgate's (beta) third party tool for SQL Azure Backup.
EDIT: Adding a reference to a new blog post that appeared today (Sept 29, 2011): Data backup strategies for Windows and SQL Azure
Redgate offers a free tool to backup and restore a database from SQL Azure to SQL Server or Azure Blob Storage: