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:
Does this mean that Azure websites always use sticky-IP? This is kind of shocking since Web Roles use a round robin behavior.
Yes, Windows Azure Web Sites will do sticky load balancing using the ARRAffinity cookie. And, it applies to free, shared, and reserved models.
I imagine this is done to more easily support the custom galleries that might not run correctly without a proper state server, and it also allows for easier scaling without worrying about stateless servers.