I'm writing this on a plane on my way to SIGGRAPH 2016 in Anaheim. This year Microsoft (my employer) has a booth, which is awesome! Last year several of us went out and met with software companies and got their pulse on what would help them enable rendering in the cloud. Over the past year we've been working on making rendering on Azure a reality. I'm happy to say we have!
Working with a great team in Microsoft and amazing partners outside of Microsoft we've rendered some great scenes on Virtual Machines in Azure. I'm adding more detail to a document on Github that explains what we did and how anyone can replicate it: Rendering on Azure Documentation
If you are at SIGGRAPH in Anaheim come by the Microsoft booth (number 843) and ask for me or one of my colleagues and we'll show you how you can get started rendering on Azure!