The Windows Azure team announced last friday new capabilities for cross-premises connectivity between Windows Azure and your on-premises, including the support of software VPN devices to create Site-to-Site VPN connections. With this new capabilitiy now you can use a plain Windows Server 2012 with RRAS (Routing and Remote Access) enabled to create the VPN connection with your Windows Azure Virtual Network instead of use a hardware VPN device (you can also use a hardware VPN device is you prefer it).
Image: Simple Cross-premises connectivity using software VPN device.
Please refer to the Windows Azure documentation site to learn more about Windows Azure Virtual Networks and to the Windows Azure Developer Center to learn more about how to build apps with Windows Azure. Follow our Twitter account @TheCloudPilot to be update.
Guillermo.