Optionally allow deployment to a Process/AppDomain rather than a VM
If a Role is .NET only then a whole VM is overkill. How about having the option to deploy a role to a Process or AppDomain. This should be cheaper to run and make deployment much faster.
Joe Wood commented
Agreed. A sandbox model (app domain) would suffice for 'safe code'. Using this we could support dynamic deployments and on-demand scaling.