In terms of hardware VPN-capable router/firewall products, the cheapest one you can find in our official support list is Cisco ASA 5505. It costs about $300-$400 retail. I have also heard people using other brands ( low-end NetGear, SonicWall,
etc). For instance, here some customer reported that they can get their SonicWall Pro 3060 (which costs about $200 to $300?) to work with Azure Virtual Network:
In the Linux world, you can try any IPSec VPN (for instance anything Racoon based) and see if that works. Unfortunately, due to time/resource constraints, we do not provide official support for such in the current release.
I tried to use cloud connect and I am stuck at the step where I am unsure how to add roles for a VM machine to connect to. All the documentation relates to how one can connect to a web or a worker role but not a VM role.
I have two virtual machines and I would like to use some secure connection tunnel to connect to those machines without having to open RDP ports using End points.