First we need to know the FQDN for our VM, we can get that with the following command (NOTE: replace the name of the vm with the one you choose in the last step)
az vm show -g $RG -n myosslabvm -d --query "fqdns"
Now we can SSH into the VM (Note replace myUserName and myDomainName with the values you used)
ssh myUserName@myDomainName
Mine looks like this:
ssh shawn@zzoe5ntiwjdl2fg.westus2.cloudapp.azure.com
The first time you connect you will be prompted with the following warning, enter yes to agree.
The authenticity of host 'zzoe5ntiwjdl2fg.westus2.cloudapp.azure.com (52.229.39.168)' can't be established.
ECDSA key fingerprint is 91:f8:b7:ee:20:b2:e0:0b:6a:84:bc:94:8f:59:9c:f8.
Are you sure you want to continue connecting (yes/no)?
You should see your prompt change from something like this:
sweisfel@MININT-L8O1KA6:~$
to something like this:
[shawn@myosslabvm ~]$
Your shell is now tunneled into the remote machine in Azure. It is just like you are sitting in the Azure data center looking at the shell running on the VM.