Jeffrey Verheul shows off a bit of Azure Cloud Shell:
Connecting to a database
Now that your Cloud Shell is ready to go, you can start using Bash. This means you can also use sqlcmd from within Bash.You can connect to a database with sqlcmd, by using the following command:
sqlcmd -S servername.database.windows.net -U username -P password
Once the connection to your database has been made, you can run queries against it.
There’s no Powershell support yet, but Bash is currently supported and Powershell is in the works.