A few steps to enable management of your Office 365 subscription using Powershell. One uses Powershell because not all configuration is available through the Office 365 Portal, and it's also useful for automation.
Note that the old method of installing the Azure Active Directory Module is deprecated. The only supported way is to install the cmdlets directly through Powershell, as described below.
UPDATE (2018-07-09): removed all deprecated information.
UPDATE (2016-04-20): updated links and information.
After the installation, the necessary cmdlets will become available.
To actually make a connection, start the Windows Azure AD Powershell:
This will allow you to manage all things Office365 related, but not Exchange Online.
There are currently two methods. It is highly recommended to use the supported method, but if for reason, it is not possible, you can use the deprecated method on the condition the account you use to connect does not have MFA enabled.