Sql Server Backup to URL (Azure) ERROR
You might have an issue with your credentials. I recently used the following command successfully to back up to SQL Azure:

BACKUP DATABASE [MyDatabaseName] TO URL = N'https://mystorageaccount.blob.core.windows.net/mycontainer/MyDatabaseName_backup_2014_12_19_124300_8473463.bak' 
WITH CREDENTIAL = N'MyCredentialName', 
    NOFORMAT, NOINIT, 
    NAME = N'MyDatabaseName_backup_2014_12_19_124300_8473463',
    SKIP, REWIND, NOUNLOAD, 
    COMPRESSION, STATS = 10;


The credential was set up with MyCredentialName as the 'Name', the storage account name as the 'Identity', and primary or secondary access key as the 'Password'. 

I ran into problems with the credential originally because I was trying to use the credential format supported for using Azure storage as the file location for the database (i.e. url prefix for 'Name', "SHARED ACCESS SIGNATURE" for Identity, and everything after the "?" from shared access signature url for the password), and that apparently does not work with the BACKUP command.