Windows Azure has built-in load balancers that will stave off most (if not all) DOS type attacks. The truth is, Microsoft is very hush-hush on the specifics of how their load balancers protect against malicious attacks (as they should be).
An added benefit to hosting your applications in the cloud is that you can take advantage of auto-scaling when you get heavy loads (malicious or otherwise) so your site won't go down.
You might want to check out the Security Best Practices For Developing Windows Azure Applications document for more information on this.