What are the limitations of the Azure Development Fabric?
Here's the MSDN article describing specific differences between the Storage emulator and Azure Storage.
And... here's the article describing specific differences between the Compute emulator and Windows Azure VM instances.
The top-level article link is here.
David's answer is good, but I want to add that a key difference between the dev fabric and the cloud is that the dev fabric runs on your computer (with a bunch of DLLs GAC'd, different settings in IIS, etc.).