First, there's quite a bit of extensive documentation available, here's an introduction to Azure Data Services: https://azure.microsoft.com/en-us/documentation/articles/data-factory-introduction/
Tonight, I logged on to Microsoft Azure account, created a Data Factory. Attempted one of the Samples, which required an Azure SQL Server Database, which I created, along with a storage account for HDInsight. Although, due to time restraints I did not complete the demo.
However, this is a great feature, cloud based, to pull data from Azure, On-Premise, HDInsight, Azure Machine Learning and a variety of other data sources. Along with the ability to massage the data through Power Shell, JSON, Stored Procdures, APIs, Hive, PIG and a bunch more.
So here, you can see a Data Factory was created in Azure Portal:
And sample to work with:
It requires a Azure SQLDatabase and Storage:
So, let's create a SQL Database, to an already existing Server:
Set existing Server:
It's creating new SQL Database:
Set the Data Factory to the new Database:
That's as far as I got. Can't wait to get more time to experiment.