Multiple times I ran into issues where roles would not properly start or where log transfer to Blob storage does not work. This is an absolute time killer because the remedy is trial-and-error, waiting for a forum answer or contacting WAZ support.
I would expect that Windows Azure provides low-level "bootstrap" log information for troubleshooting right out of the box. Non-inclusive list of things I would want to see is (all based on personal experience):
-Assembly binding issues, missing assemblies, assembly version mismatches.
-Misconfigured diagnostic log connection strings
-Which overridden role methods were called plus any exceptions that might have occurred.
-Missing certificates for HTTPS endpoints.

Basically, anything that prevents a role from starting and log transfer to work. The app fabric is the only place where this information is known, so in order for me to systematically troubleshoot my app, WAZ needs to provide this info. Once the role is up and log transfer works, I can take it from there.