I just stood up a website using the Windows Azure Websites preview. After doing so, I ran YSlow to make sure the score is what I expect it to be. When doing so, I get a message that reads "Use cookiless domains". Well, this is just an informational website, we don't even use session. So I check the http request and there's a cookie in there named "ARRAffinity". Some quick googling turns up this link:
http://social.msdn.microsoft.com/Forums/en-US/windowsazurewebsitespreview/thread/0ba2c2f6-d5a1-40b6-8d0d-e44b58b65753/
Does this mean that Azure websites always use sticky-IP? This is kind of shocking since Web Roles use a round robin behavior.