If you're using SQL Azure and try to connect using SQL Server Management Studio or SQL Server Data Tools and you're beaten with a dynamic IP address, you might face this on a daily basis:
The next step would be to open the Azure Management Portal and add a new Firewall rule for your current external IP address. And this becomes awkward on the second day at the latest.
Thanks to the Windows Azure PowerShell Cmdlets (you can get them using Web PI), this must not be.
Just create a new rule using the Cmdlets using NewAzureFirewallRule.ps1 and update it using SetAzureFirewallRule.ps1: