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Azure Storage Accounts have major problems with key partitioning that you have to be aware of at the application level that S3 has no problem with. Additionally, Azure Storage accounts have bandwidth throttle limits that can force you to shard across multiple accounts which is pretty painful. Azure SDKs outside of C# and Java are also not well supported in my experience.

EDIT: This was based on my experience from ~2 years ago. The Blob storage team has reached out to me via email and let me know that both the key partitioning and throttling issues have been fixed since then.