A series of short videos covering Windows Azure, Azure Service Bus and SQL Azure can be found at:
The videos duration ranges from 6 minutes to 75 minutes in length.
For videos in this series covering Azure AppFabric -
Get started with Azure Service Bus (24 minutes in length) covers signing up, creating projects, namespaces and service remoting via the service bus environment.
Get started with Access Control Services (26 mins) covers authentication and authorization of WCF web services in the cloud.
Create and use a service bus message buffer (22 mins) covers sending and receiving (simple text based and complex custom types) messages using a cloud message queuing system.