Hello, Ofer has finished his series on Azure Sentinel connectors (for now)
Azure Sentinel has many built-in connectors (~32 as of Sept 2019), so whatever your data source there is good chance that Sentinel does support it. I find that between, Windows Events, Syslog and CEF most bases are covered. We have a rich array of Microsoft and 3rd party connectors in Azure Sentinel.
If not, Sentinel has a broad array of tools to create custom connectors.
Here are the relevant blog posts to guide you to find your connector or develop a custom one:
• Using the agent to collect telemetry from on-prem and IaaS server
• Collecting Azure PaaS services logs
• The Syslog and CEF source configuration grand list
• Creating Custom Connectors
Official docs for connectors can be found here