Without having to wait for SQL Azure Federations I was looking around for solutions to easily shard SQL Azure-based databases.
Turns out I just came across this library which supports to spread the load of database queries over multiple databases (actually both, SQL Server and SQL Azure). Internally it is using the Task Parallel Library (TPL).
Enzo SQL Shard (on CodePlex)
Note: I did not yet look deeper into this library nor actually use it. Just thought I should share the link as it sounds quite interesting.
Hope this helps.