Connect to remote desktop services via a bastion host using an SSH tunnel. Helpful when you have SSH access to a (eg, Linux) server with network access to the remote desktop hosts.
This works with Mac OS X, because it comes with SSH and Microsoft makes a pretty good RD client for Mac. The same overall approach should work with other SSH clients and other RD clients.
Note: This approach is not recommended for anyone. Instead, one should use a Remote Desktop Gateway (on Windows Server) or a real VPN.