What roles and features do I need to setup Exchange Server 2010 (Trial) on a Windows Server 2012 Azure instance? I've bought a domain name from Go-Daddy and I'd like it all up so I can have firstname.lastname@example.org email addresses.
Exchange 2010 is not yet supported on Server 2012 (per the Exchange Team). They recently announced that Exchange 2010 SP3 will support installation on Server 2012, but that update is not due out until the first half of 2013.
If you just want email branded with your domain name, you could use Office 365 or any number of hosting services (google apps.. etc..).
If you want to install Exchange 2010 now, you'll need a Server 2008 R2 image.
On that server (if you are going to run the Client Access, Hub Transport, and Mailbox roles on the same box), you'll need the following roles (PowerShell script provided for ease of use).