Is it possible to have domain joined SQL Azure servers or Database so that we can use logins from our Active directory using windows Authentication?
Unfortunatly SQL Azure currently does not support Windows Authentication right now (i.e: integrated security) and it only supports SQL Authentication where user should provide username and password all the time.
For more info on SQL Azure security guide lines take a look at the link below:
https://azure.microsoft.com/en-us/documentation/articles/sql-database-security-guidelines/
But if you are willing to use the preview, Microsoft has announced support for Azure Active Directory login support for Azure SQL Databases:
https://azure.microsoft.com/en-us/blog/preview-azure-ad-authentication-7/
Recently Microsoft announced support for Azure Active Directory login support for Azure SQL Databases in public preview. You can read the blog post announcing this feature here: https://azure.microsoft.com/en-us/blog/preview-azure-ad-authentication-7/ and the documentation here: https://azure.microsoft.com/en-us/documentation/articles/sql-database-aad-authentication/.
Microsoft announced support for AAD auth for Azure SQL DB recently. Check out details on the doc page and the blog post below.
https://azure.microsoft.com/en-us/documentation/articles/sql-database-aad-authentication/
http://blogs.msdn.com/b/sqlsecurity/archive/2015/09/16/azure-active-directory-authentication-is-in-public-preview.aspx
https://azure.microsoft.com/en-us/blog/preview-azure-ad-authentication-7/