Azure Datacenter IP Ranges
When using Window Azure Service Bus Relay Bindings, you need to open outbound TCP connections from on-premise servers. If your firewall configuration restricts outbound traffic, you will need to perform the addition step of opening your outbound TCP port range 9350-9353 to the IP range associated with your selected regional data center. This information is now available at here
Rock - Paper - Scissors - Cloud! 
Very good article. I will be going through some of these issues
as well..