Updated in February 2014: I have updated the steps and some screenshots to reflect the current situation on Azure as of February 2014 as a few crucial settings have changed since I initially wrote this article. With the settings and steps mentioned in this article, you should be good to go again.
As Azure keeps expaning rapidly, it
now also allows you to connect your Azure cloud network to your local (company)
network using a pfSense server. It will create a secure IPSec connection
between. Follow the steps below in order to set up this connection. I assume you
already have an Azure account. I have used my MSDN Ultimate subscription which
includes free use of the Azure services. The screenshots and steps are
valid at this time of writing and might change as Azure changes
rapidly. The steps should stay pretty much similar though.