I recommend that you download and try the samples of the BizTalk Services SDK (identity & access control, connectivity, web-style stuff) to get a deeper understanding of what the "internet service bus" concept provides to service-oriented solutions - both for the SaaS approach and for the Software+Service approach.
An error that you might run into when trying any of the connectivity samples is the "No DNS entries exist for host connect.biztalk.net" exception when calling host.Open() from e.g. the EchoSample server. You'll get a really lost feeling when googling for this error gives no hits:
System.ServiceModel.EndpointNotFoundException was unhandled
Message="No DNS entries exist for host connect.biztalk.net."
StackTrace: at System.ServiceBus.RelayedOnewayClient.Connect()
The cause of this problem is that the RelayBinding uses an outbound TCP connection to connect to sb://connect.biztalk.net/ to set up your hosted endpoint; and if you're behind a firewall, this will fail unless permitted by the firewall. Refer to the ReadMe file of the SDK for more details.