How it differs from S2S VPN is around authentication.
There are three types basically:

1. Certificate authentication
2. Microsoft Entra ID authentication
3. RADIUS authentication

Certificate Authentication

1. Create a VNet
2. Create a gateway subnet
3. Create the VPN gateway
4. Generate certificates
5. Add the address pool
6. Specify tunnel and authentication type
7. Additional IP address
8. Upload root certificate public key information
9. Generate VPN client profile configuration files
10. Configure VPN clients and connect to Azure
11. Verify your connection
12. Connect to a virtual machine

references:

MS Docs