Windows Azure is a cloud computing platform that provides Infrastructure as a Service (IaaS), Platform as a Service (PaaS), and Software as a Service (SaaS). It allows developers to build, deploy, and manage applications through Microsoft-managed data centers. The key services include compute, storage, networking, and development tools. Architectural principles for building reliable cloud applications on Windows Azure emphasize statelessness, redundancy, loose coupling between components, and scaling automatically based on demand.