Fundamentally there are two consumable services, all other services and components just facilitate the consumption. Theses components are Compute and Storage.Windows Azure can be divided in multiple services and components listed below.
 

Windows Azure Compute

Compute is actual work load (Task) that you want to get processed on Azure platforms.Azure provide three types of compute facility (Called Roles) as described below.

• Web role       (PAAS) – A web role runs in a virtual machine and is customized for web application programming. It supports IIS 7 and ASP.NET.
  
• Worker role   (PAAS) – A worker role runs in a virtual machine and is useful for generalized development. Use it to perform background processing for a web role.
  
• VM role         (IAAS)–VM role is the a clean virtual machine, which gives you full control of operations.

Windows Azure Storage

It is a IAAS service that provide storage for binary and text data, messages, and structured data in Windows Azure.

Microsoft SQL Azure

It is PAAS Microsoft SQL Azure offers a relational database service.

Windows Azure Connect

With Windows Azure Connect, you can use a simple user interface to configure IPsec protected connections between computers or virtual machines (VMs) in the network of your organization, and role instances running in Windows Azure.

Windows Azure Service Bus

The Windows Azure Service Bus provides a hosted, secure, and widely available infrastructure for widespread communication, large-scale event distribution, naming, and service publishing. Service Bus provides connectivity options for Windows Communication Foundation (WCF) and other service endpoints, which includes REST endpoints.

Windows Azure Access Control

Windows Azure Access Control Service (ACS) is a cloud-based service that provides an easy way of authenticating and authorizing users to gain access to your web applications and services while allowing the features of authentication and authorization to be factored out of your code.

Windows Azure Content Delivery Network

The Windows Azure Content Delivery Network (CDN) caches Windows Azure blobs and the static content output of compute instances at strategically placed locations to provide maximum bandwidth for delivering content to users.

Windows Azure Caching

Windows Azure Caching enables you to easily provision a cache in the cloud to be used from any applications or services that could benefit from caching. This includes a very common scenario of session state and output caching in ASP.NET. Caching increases performance by temporarily storing information from other backend sources.

Windows Azure Management Portal

The Windows Azure Management Portal provides access to hosted service deployment and management tasks as well as at-a-glance status information that lets you know the overall health of your deployments and accounts. The Management Portal organizes the components of your Windows Azure deployments with constantly refreshed information that is easy to discover and understand.

Local Development Environment

The Windows Azure SDKs for .NET, Node.js, Java, and PHP provide common tools and resources that you use to package, test and deploy your application. The Windows Azure SDK for .NET includes the Windows Azure Tools for Microsoft Visual Studio, which extends Visual Studio to enable the creation, building, debugging, running and packaging of scalable web applications and services on Windows Azure.

Windows Azure Marketplace

The Windows Azure Marketplace is a global online market that enables developers and information workers to easily discover, purchase, and manage finished SaaS applications and premium data subscriptions on Windows Azure.