Hi, Cedric:
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:
http://social.msdn.microsoft.com/Forums/en-US/windowsazureconnectivity/thread/15a4d8ef-85ac-444b-b10c-cb94f0aacde9
If you are looking for a software based solution, then we have a very long thread on how to get Microsoft TMG Server 2010 to work with Azure Virtual Network:
http://social.msdn.microsoft.com/Forums/en-US/windowsazureconnectivity/thread/eff37274-8b25-471a-bbc0-3303a0c58960
You can get a 120-day evaluation edition here:
http://www.microsoft.com/en-us/download/details.aspx?id=142238
Retail price sheet: http://download.microsoft.com/download/B/D/3/BD3C5A07-599D-4C14-AC2E-A98F495CCFB5/Forefront%20Licensing%20Datasheet.pdf
Another choice is to use Windows itself (a Win2k8R2 server). Our dear colleague Michael Jurek has a nice writeup shared on skydrive:
http://social.msdn.microsoft.com/Forums/en-US/windowsazureconnectivity/thread/dcff0a03-cbee-4f3c-ae95-ac55bb8782db/?prof=required
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.