Now we have built several business solutions that involve Azure talking to SharePoint Online. We deploy our solutions to the same data centre which happens to be in Dublin covering the EMEA region.
That got me curious as to whether we would be billed for the data transfer between Azure and SharePoint Online. I raised a question on the Azure forums but didn't receive a definitive answer. However, one suggestion was to raise the question through the Microsoft Online Services Customer Portal.
I did this, and after a few email exchanges I got an answer, though not the one that I wanted!
"I have just heard back from the Azure Business desk, they have informed me that you will still be charged for data transfers between Share Point and Azure. They are in the same physical data center but the servers do not naturally speak to each other; for data transfer they are considered to be in different locations even though they share a building."