PowerShell - Handy function to connect to Office365 services

I just started to play with a Microsoft Office 365 environment (Azure Active Directory, Lync Online and Exchange Online) and I thought I would make it through PowerShell obviously :-)

But when you start your PowerShell console... you need to load modules, connect to each services, enter your credentials...yada yada yada...

With Office 365 you can administer the following services using PowerShell:
  • Azure Active Directory
  • Exchange Online PowerShell
  • SharePoint Online PowerShell
  • Lync Online PowerShell