Things will eventually fail in your application and you need to be prepared. So most components should be designed for something going wrong and recover gracefully (or as gracefully as possible) and leaving the system in a consistent state (eventually
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Read the complete post at http://blogs.msdn.com/eugeniop/archive/2010/04/29/windows-azure-guidance-additional-notes-on-failure-recovery-on-windows-azure.aspx