We would like to have an indicator that tells us how close our azure services are to being throttled. We don't need specific throttle metrics, but a general indicator (red/yellow/green) for each azure service (Sql Azure, Table storage, Blob Storage, etc.) that can be throttled.
With this information, we can scale down our usage of non-essential threads in favor of allowing mission-critical threads to continue processing rather than getting stopped cold when they are throttled (even with a retry policy, you're stopped/on hold until the throttle is removed).
With the GA of SQL Databases new business model Basic/Standard/Premium there are a new set of ways to understand your databases resource consumption in both the portal and the DMVs. Details here http://azure.microsoft.com/en-us/documentation/articles/sql-database-upgrade-new-service-tiers/