When I create an Azure ASP.NET application, by default .NET trust level is Full trust. I always change it to Windows Azure partial trust which is similar to ASP.NET's medium trust level.
You can do it either by using GUI when you select Properties on the Role or by setting enableNativeCodeExecution to false in the definition file (.csdef) just like below:
<WebRole name="ServiceRuntimeWebsite" enableNativeCodeExecution="false">
As a security conscious developer I want by default to run my application in partial trust mode that provides a higher level of security. If I need to use something like Reflection or P/Invoke, as a developer I want to make the decision to lower that trust level by myself.
I'm sure there's a reason why Microsoft decided to use Full trust as a default .NET trust level, I just fail to see it. If you know the reason, or you think you know it, please let me know.
Full trust is not only required for P/Invoke for .NET reflection as well. As a bottom line result, nearly all moderately sized apps need full trust because nearly all widespread libraries need it too (NHibernate for example). Actually, I have been asking from the exact opposite question on the Azure forums too.