It's a tricky question to answer. SQL Azure is supposed to look just like SQL Server to software, the main difference is in the connection string--so it'sentirely possible that some tools for SQL Server will just work even though they weren't designed with SQL Azure in mind. Since the first public SQL Azure CTP is just now rolling out, we should soon start to find out what is and is not compatible with it.
I personally tested LLBLGen.
Inserting an Entity works and Linq queries as well.
Getting an entity, updating an entity and deleting an Entity does not.
(You can get an entity via a Linq query)
This is because when they execute the statement against sql Azure they use T-SQL statements which is not supported by sql Azure.
As you may know, sql Azure does not support certain properties of normal sql server.
eg. ANSI, nText, Text, Image etc.