Found this issue being reported with a lot of users.
The help section in the portal directs the steps in this article: http://www.windowsazure.com/en-us/documentation/articles/virtual-machines-capture-image-windows-server/
I used "Shutdown" for sysprep, but apparently it's incorrect, and leads to a bug that doesn't let users connect with VM either with RDP or any other means.
Read posts, and comments - all with link to this article for NEXT time you do a sysrep. http://social.msdn.microsoft.com/Forums/windowsazure/en-US/fafb9ee6-1e57-46ba-8440-27467ad986cf/image-capture-issue-vm-unexpectedly-started-after-guestinitiated-shutdown
How can the last VM be made accessible again? I have a lot of important data on it.