Have you gotten this type of error in Windows Azure:

Since entity type 'ObjectName' has one or more etag properties, If-Match HTTP header must be specified for DELETE operations on this type.

If so, the fix is really simple.  The problem is that you have created a new object and are trying to stuff it back into your entities.

My code to resolve this looks like this:

        public void TwitterEntryDelete(string PartKey, string RowKey)
        {
            TwitterEntry te = new TwitterEntry()
            {
                PartitionKey = PartKey,
                RowKey = RowKey
            };
            AttachTo("TwitterEntries", te, "*"); // <--  The final parameter is the key to solving the problem. You need to tell EF to disregard where this object came from and to put the object into the collection.
            DeleteObject(te);
            SaveChanges();
        } 

By disregarding where the object came from, we can go ahead and tell the system to put the object in our collection(attach) and then operate on the object.