I did write a post a few weeks ago that described how to enable anonymous access to SQL Azure OData feeds (Consuming SQL Azure Data with the OData SDK for PHP), but I had a few things to learn about AppFabric access control before I felt comfortable writing about authenticated access to these feeds.
He starts from the Azure side, creating a sample OData feed and adding permissions to only allow access to a specific (database) user for the feed. You'll use a set of data to connect to the feed - a username, a secret key, an issuer name and the OData endpoint address. Then, using the OData SDK he shows how to generate the needed classes with the automatic tool and use them to connect to the endpoint and retrieve data from the feed. He also includes a little snippet for those that might not want to use the SDK - an example using curl to connect and authorize the session.