Can Oracle Heterogeneous Services be used to connect to a SQL Azure database

Metalink 207303.1 is the Client/ Server Interoperability Matrix which will be the definitive documentation. Since the express edition of 10g is based on Oracle 10.2, a database link to an 8.1.7 database should be supported. Database links to earlier versions of 8i (8.1.5 or 8.1.6) are not supported from a 10.2 database. For general sanity, I'd strongly suggest that the 8i side be running at least the 8.1.7.4 patchset but that isn't strictly required.

Try this:

COTT3 = 
 (DESCRIPTION =
  (ADDRESS = (PROTOCOL = TCP)(HOST = localhost)(PORT = 1521))
  (CONNECT_DATA = 
   (SERVER = DEDICATED)
   (SERVICE_NAME = COTT3)
  )
)

If that doesn't work, replace "SERVICE_NAME" with "SID".

Put this in $ORACLE_HOME/network/admin/listener.ora:

LISTENER =
  (DESCRIPTION_LIST =
    (DESCRIPTION =
      (ADDRESS_LIST =
        (ADDRESS = (PROTOCOL = TCP)(HOST = localhost)(PORT = 1521))
      )
    )
  )

SID_LIST_LISTENER =
(SID_LIST =
    (SID_DESC =
      (SID_NAME = COTT3)
          (ORACLE_HOME = /opt/oracle/oracle/product/10.2.0/db_1 )
    )
  )

Then restart the listener with:

lsnrctl reload

Are you 100% sure that the database has started up?

Does:

ps auxww | grep pmon | grep -i cott3

... produce any output?