VPN Gateway: A VPN gateway is Azure virtual network gateway used to send the encrypted traffic to on premises from Azure Vnet over the public internet. You can also use VPN Gateways to sen the encrypted traffic between Azure Vnets over the Microsoft networks.
Each Vnet can have only one VPN Gateway but you can create multiple connections to the same gateway.
What is Azure Express route?
Use Express route to create connections between Azure Data center and customer local infrastructure so Express route connections dont go over to the public internet.
Express route :
it is a direct private conection between your WAN to Microsoft services.
Express route bandwidth 10GBpersecond and VPN gateway bandwidth 1GBpersecond.
you can use together express route and VPN gateway.
Azure SQL Database 
nice!
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