Just found and inspected this nice little sample on MSDN:
LINK TO SAMPLE:
It does not only demonstrate the ODB related things. If you are interested in how to load SSL-Certificates into your projects and how to use them with the web-client, you can inspect the MessagingClient.cs file within in the Microsoft.ServiceBus.Micro project.
On my journey debugging SSL related errors I stumbled over the SocketException error codes and their actual meanings here:
And I asked a question about what really happens during an SSL-Seed update and the best way on how to load self-signed certificates for testing on CodePlex:
I hope this will help others as well.