I was in a conversation this morning with a couple other SQL guys (Twitter again) and the subject of Dynamic Management Views (DMVs) came up in regards to SQL Azure.  Running through the MSDN details it did not seem that they were supported.  After a couple emails with the SQL Azure team I have been given assurances that they will be added in a few months. 

The DMVs that will be available are only those which have database scope.  This is another great step in making SQL Azure a very viable alternative to local hardware.