As a follow-up to the labs below and you have big-data scenarios, you should have a look at these
Connect the data - Sample Dataset
Getting started with Power BI Desktop
Connect to Data Sources in Power BI Desktop
Advanced data sources and transformation
This is a two part lab. First start off by getting an EventHub up and running and some realtime data pushed to it: Setting up EventHub and pushing data to it
Then, go and create a Stream Analytics job that you connect to Power BI:
Hooking up Stream Analytics and Power BI
The code used in the sample application that generates the realtime data can be found here: EventHub Code - sample
APIs can be tested on codit.
Recommended: Visual Studio Extension
Custom visuals - getting started
Concretely, run the IVisual Tutorial