I am writing a web site that uses SQL Azure heavily. However, it is painfully slow.
Is there an easy way to profile the live SQL Azure instance?
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I have used the MVC Mini Profiler as part of an application to profile SQL Azure but depending on your application it may or may not work. What kind of tasks are you doing that need profiling?
It won't help you trace existing calls from your website but you can still obtain interesting performance metrics by running SQL commands from this tool directly: Enzo SQL Baseline. It offers options to load commands in parallel to simulate load and helps you compare performance metrics over multiple runs.
There is now a "light version" available, where you can analyze your queries and see resource consumption.
In addition to the other answers, you can also use the CSS SQL Azure Diagnostics tool* from Microsoft support to run some queries on the server that show you missing indexes and popular queries.
* It appears this tool is no longer available (11 January 2015)
The most close to SQL profiler, that I found to be able work with azure sql, is sql-workload-profiler However note, that it’s a beta version of a tool, created by a single person, and it is not too convinient to use