A message broker is an architectural pattern for message validation, message transformation and message routing. It mediates communication amongst applications, minimizing the mutual awareness that applications should have of each other in order to be able to exchange messages, effectively implementing decoupling.
The practical utility of this construct has been proven in many distributed systems over the years. Within the context of Windows Azure, this pattern is extremely useful for posting messages from within your Web Role implementation to perform some asynchronous work at a later time. Often, this is done to keep the user interface responsive. Other times, this is used just to delay some processing to another time.