Today I went through the process of oData enabling one of my SQLAzure databases. One of the advantages of using SQLAzure is that it is easy (almost) to enable oData access. The following was the process I went through for your use, as I didn't see a similar tutorial.
First, I recommend starting at this page on the oData site (it is where I started):
From this page you can go to the oData Service Portal, which is at this URL: https://www.sqlazurelabs.com/ which looks like the following:
Click on the OData Service for SQL Azure tab. Upon your first time in, you'll see a registration screen as follows. Accept the terms and continue.
When you get in, you'll be presented with a form to enter your SQL Azure database credentials:
Press connect, and upon successful connection, you will be presented with a list of specific databases fromt that server for you to oData enable. Select your database, and the 'Enable OData' checkbox, and you will be presented with a request to specify access to the database. The default is no anonymous access:
You can select any user in your database if you want anonymous access. For now I'm using 'dbo':
At this point, you have actually completed oData enabling of your database. You can access the data at the URL provided in the portal on the screen. As an example, if I click the link above, I get the following result:
I only have one table in this database, named HistoricalErcotPrices. If I was to append /HistoricalErcotPrices to the URL, I would get the following:
Not incredibly useful, but if you view source, you can see the data:
Very nice indeed!
If you want an app to visualize your oData feed, there is the Silverlight OData Explorer, which looks like the following once you enter your feed url:
