On the Silver Lining blog (a MSDN Windows Azure related site), there's a recent post showing how you can enable XDebug on your Azure instance to help with debugging your application.

In this post, I’ll cover how to run XDebug (including the profiler) in Windows Azure Web Sites. Enabling XDebug in Windows Azure Web Sites is as simple as enabling an extension. However, enabling an extension for the built-in PHP runtime is slightly different than doing so for a custom PHP runtime. I’ll cover both scenarios here.

The post is broken up into two sections - one if you're just using the built-in PHP runtime that's already in the instance and another if you're using a custom one of your own. Changes to the configuration files and some screenshots of where to make the updates are included.