The short answer is that you’re probably not using transactions.
I came across this issue a few time and decided to create the ReliableModel. When I modify the state of my database, it automatically wraps my code with a TransactionScope. By default, TransactionScopes are set to timeout after 30 minutes. This configuration is set in the machine.config and it cannot be modified on Windows Azure Roles. Therefor, if your statements need more than 30 minutes to execute, I strongly recommend using Stored Procedures. Be sure to use Transactions in your Stored Procedures.