Windows Azure and Cloud Computing

Has anyone done development in this platform? How easy/hard is it to do that? Would anyone like to inform me as to how cloud-computing works? Is it more like a web-server or a service running on a server that I can have it do certain things?

I would like to use it (if possible) to do some number crunching for myself on financial data and the like. I would have a laptop that controls this beast and would communicate directly to my "cloud app" in a secure manner. Thoughts?

Try it out. There are many platforms available, all of them are scalable. They have a trial version out, and plenty of training available (free)