Yes. - http://msdn.microsoft.com/en-us/library/windowsazure/ee336282.aspx
You'll need to ensure that the Azure SQL Database firewall rules are set up to allow traffic from your IP.
If you are running full SQL Server on a Windows Azure Virtual Machine you can open the port to the SQL Server. Be aware that you'd likely want to ACL the endpoints on a VM to restrict access to your IPs.