The indefatigable Sir Eel has published a series on the The Windows Azure Training Kit in F#. Part 3 covers Using Entity Framework with an Azure Database.
Part 1 - WATK in F#, Part 1: Building and Publishing Windows Azure Web Sites
Part 2 - WATK in F#, Part 2: Deploying an Azure Web Site with Git
Part 3 - WATK in F#, Part 3: Using Entity Framework with an Azure Database
In Part 1 and Part 2 we skipped the database part of the HOL to concentrate on web deployment. Now it's time to complete the lab by hooking up SQL Azure with Entity Framework. The main difference in doing this with F# is that we'll need to write our own EF code, as the Visual Studio Controller Wizard doesn't know how to do it for us in F#. But our project template has built in EF support, and F#'s concise syntax reduces what we need to write.