Interestingly enough, setting up a Windows Server 2008 R2 server as a Remote Desktop Gateway Server is pretty easy, if you know all the pieces of the puzzle!
What I was suprised at was that it's not well documented that on the client connecting to the server, you need to go to the last tab on the right, go to the advanced options, and set the external FQDN of the server your connecting too (and make sure that FQDN has a VALID SSL certificate). Without the valid SSL certificate, the client will start to connect, and then tell you the cert isn't valid and then droppes the connection. You can't use the IP address...
Also interesting was the fact since the server will be accessed from outside of the orginization, you need to put that information in the (I think it was) connection policy (there's a spot to enter the address of the server).
It's funny, I ran through the walk through from Microsoft twice and still had to find these various gotcha's! Very frustrating...
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