The other option you have is using In-Role Cache for Web/Worker roles (Azure Cloud Services). Any role within the same cloud deployment can access the cache. If you have just 1 web role - this acts very similar to ASP.NET State Server which provides an in-memory cache. However, as you add more web roles - you can choose to distribute this in-memory cache across all roles or use a dedicate worker role for managing the cache.
Dedicated In-Role Cache: worker role uses all available memory
Co-Located In-Role Cache: percentage of available memory is used across all roles
See In-Role Cache FAQ on MSDN for more details.