TCP communication on Windows Azure
Tom, with any type of Windows Azure role, you can define tcp endpoints and assign a specific port to each endpoint. You can then start a ServiceHost (or anything, for that matter) that listens on that tcp endpoint. If you scale to multiple instances, each of your instances would listen on that endpoint for new connections, and the Windows Azure load balancer would take care of sending requests across your instances.
You can certainly connect via IP address instead of DNS name, but the IP address is subject to change if you delete and redeploy your app.
EDIT 12/14/2012 - Last October, there was announcement about improved in-place updates. You'll see that many types of changes may now be made to the deployment without the assigned IP address changing.