A while ago Azure announced a new feature allowing you to connect VNets together without express route or VPN.
VNet peering is a mechanism that connects two virtual networks (VNets) in the same region through the Azure backbone network. Once peered, the two virtual networks appear as one for all connectivity purposes. They are still managed as separate resources, but virtual machines in these virtual networks can communicate with each other directly by using private IP addresses.
The product page can be found here.
The Existing Architecture
Originally, your architecture may have consisted of several VNets and all of these would have had a gateway (a billable item) and a form of connectivity between them – either express route or VPN. There are some inefficiencies here as all traffic between VNets needs to be routed via your express route circuit. Bandwidth and the actual location of your express route termination points may be problems here. A 1000mb/s link may be plenty between your on-prem networks and Azure, but is it enough for your traffic between all of your VNets? With the below architecture we have 4 gateways for 4 VNets.
The New Architecture
VNet peering does away with the requirement to have a gateway on every VNet. We can create a VNet which serves as the link between your on-prem networks and have the rest connected via VNet peering. This is even supported between VNets that are in different subscriptions. To use the same reference architecture but changed to adopt VNet peering, we will have something like the below.
So we have one extra VNet, but 3 fewer gateways. The gateways are what cost money in this setup, so this will not only be a cheaper setup, but a more efficient one. All traffic between VNets will be via the (blazing fast!!!) azure backbone and not your express route link. At the moment VNet peering traffic is free of charge, so you will save some money on your ingress/egress express route charges.
As with everything Azure, please do your own research as pricing and features change regularily.