Azure AD

$Credential = Get-Credential
Connect-AzureAD -Credential $Credential

Exchange Online

$Credential = Get-Credential
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://outlook.office365.com/powershell-liveid/ -Credential $Credential -Authentication Basic -AllowRedirection
Import-PSSession $Session

Skype for Business Online

Import-Module SkypeOnlineConnector
$credential = Get-Credential
$session = New-CsOnlineSession -Credential $credential
Import-PSSession $session

Security & Compliance

$credential = Get-Credential
$SccSession = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://ps.compliance.protection.outlook.com/powershell-liveid/ -Credential $credential -Authentication "Basic" -AllowRedirection
Import-PSSession $SccSession -Prefix cc

Sharepoint

$tenant = "tenantshortname"
$credential = Get-Credential
Import-Module Microsoft.Online.SharePoint.PowerShell -DisableNameChecking
Connect-SPOService -Url "https://$tenant-admin.sharepoint.com" -credential $credential