RE: Azure Virtual Networks
I spent about 4 hours trying to get it work last night and I had no success. There are some hits on Google about people that did it, but they are all from about a year ago, and since then Windows Azure has changed things.
I searched for SonicWall and Watchguard configurations too in case I could translate those over, but still had no success.
There are some technical details on what Azure supports for VPNs here:
http://msdn.microsoft.com/en-us/library/windowsazure/jj156075.aspx
I tried both static and dynamic, but spent most of my time on dynamic as I believe that corresponds to interface-based VPNs in FortiGate.
In case anyone cares, my goal would be to run one or more Windows domain controllers in Azure. It looks quite easy to do once the VPN gets going.