Brian Swan has a new post to his MSDN blog today about using the OData SDK to consume Azure data (ODP is the Open Data Protocol that's been defined). The OData interfaces is a REST-based service used to grab data from multiple types of data sources.
The SQL Azure OData Service incubation (currently in SQL Azure Labs) provides an OData interface to SQL Azure databases that is hosted by Microsoft. Another way to think about this is that SQL Azure OData Service provides a REST interface to your SQL Azure data.
He shows you how to create the SQL Azure Server, make a SQL Azure database and creating the SQL Azure OData service. Then, with that all set up, you can use this other tutorial to connect your script to this new service.