How can I log into an azure VM via my Mac? Recently switched to Macs.

I have some Azure VMs. In Windows, I just need to boot up the remote connections dialog, put in the server and credentials and it should log me in.

Is there a similar sort of thing for OSX as well?
You just need a Remote Desktop Client.

Microsoft has an official one called Microsoft Remote Desktop, that is free. It's available on the App Store.

There are other alternatives as well, such as CoRD.