Most Service Bus examples use symmetric keys directly in applications needing access to the Service Bus, usually as part of the connection string. That approach does not work so well with widely distributed applications, e.g. desktop or mobile apps.  In the latest post from his blog, Marius Rochon gives an example of how to use Azure Active Directory (AD) to authenticate clients and authorize them to obtain access to selected Service Bus functionality.

http://blogs.msdn.com/b/mrochon/archive/2015/02/02/servicebus-azure-ad-oauth-and-shared-access-signature.aspx