I am migrating my SQL Server 2008 to SQL AZure. What issues will I most likely run into, what can I expect or hopefully prevent.

This question has been asked a couple of times before.  I quote the things that have already been mentioned:

• You can use SQL Server Developer Tools to validate that your schema is Azure compliant and fix issues.

Details here - http://blogs.msdn.com/b/ssdt/archive/2012/04/19/migrating-a-database-to-sql-azure-using-ssdt.aspx

Read: http://social.msdn.microsoft.com/Forums/en-US/ssdsgetstarted/thread/e5276f3d-6f41-48ae-83b9-    b7dab26bd17c

• Issues are if you have used features which are not supported by SQL Azure, like
  - heap tables (tables without clustered index)
  - CLR assemblies
  - Fulltext search
  and so on.

See:
SQL Server Feature Limitations (Windows Azure SQL Database)
Unsupported Transact-SQL Statements (Windows Azure SQL Database)

• Marked as answer by Edwin van Driel 13 minutes ago