I have had on my blog todo list for a number of months to put a Step-By-Step blog post together on How To setup a VPN from my on-premise datacenter to my Windows Azure environment. If you do not already have an Azure account, you can get a free trial at http://aka.ms/IaaS. Before I could get to creating the post, it I found a great article on the topic. It was put out by Shannon Fritz. I recommend you check it out at: Site-to-Azure VPN using Windows Server 2012 RRAS.
You do not need any particular router device to setup this VPN because you are terminating at Windows Server 2012. Check it out and let me know how your deployment goes!