Version: 2018.3 (switch to 2019.1b or 2017.4)
Integration using Unity's High-Level API
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Integration using NetworkTransport

If you need the maximum amount of flexibilty when integrating Unity Multiplayer Services, you can use the NetworkTransport class directly. This method requires more code, but allows you to control every detail of how your game integrates with the Multiplayer Services.

This is an example of how you can connect directly using the NetworkTransport class:

using UnityEngine;
using UnityEngine.Networking;
using UnityEngine.Networking.Types;
using UnityEngine.Networking.Match;
using System.Collections.Generic;

public class DirectSetup : MonoBehaviour
{
    // Matchmaker related
    List<MatchInfoSnapshot> m_MatchList = new List<MatchInfoSnapshot>();
    bool m_MatchCreated;
    bool m_MatchJoined;
    MatchInfo m_MatchInfo;
    string m_MatchName = "NewRoom";
    NetworkMatch m_NetworkMatch;

    // Connection/communication related
    int m_HostId = -1;
    // On the server there will be multiple connections, on the client this will only contain one ID
    List<int> m_ConnectionIds = new List<int>();
    byte[] m_ReceiveBuffer;
    string m_NetworkMessage = "Hello world";
    string m_LastReceivedMessage = "";
    NetworkWriter m_Writer;
    NetworkReader m_Reader;
    bool m_ConnectionEstablished;

    const int k_ServerPort = 25000;
    const int k_MaxMessageSize = 65535;

    void Awake()
    {
        m_NetworkMatch = gameObject.AddComponent<NetworkMatch>();
    }

    void Start()
    {
        m_ReceiveBuffer = new byte[k_MaxMessageSize];
        m_Writer = new NetworkWriter();
        // While testing with multiple standalone players on one machine this will need to be enabled
        Application.runInBackground = true;
    }

    void OnApplicationQuit()
    {
        NetworkTransport.Shutdown();
    }

    void OnGUI()
    {
        if (string.IsNullOrEmpty(Application.cloudProjectId))
            GUILayout.Label("You must set up the project first. See the Multiplayer tab in the Service Window");
        else
            GUILayout.Label("Cloud Project ID: " + Application.cloudProjectId);

        if (m_MatchJoined)
            GUILayout.Label("Match joined '" + m_MatchName + "' on Matchmaker server");
        else if (m_MatchCreated)
            GUILayout.Label("Match '" + m_MatchName + "' created on Matchmaker server");

        GUILayout.Label("Connection Established: " + m_ConnectionEstablished);

        if (m_MatchCreated || m_MatchJoined)
        {
            GUILayout.Label("Relay Server: " + m_MatchInfo.address + ":" + m_MatchInfo.port);
            GUILayout.Label("NetworkID: " + m_MatchInfo.networkId + " NodeID: " + m_MatchInfo.nodeId);
            GUILayout.BeginHorizontal();
            GUILayout.Label("Outgoing message:");
            m_NetworkMessage = GUILayout.TextField(m_NetworkMessage);
            GUILayout.EndHorizontal();
            GUILayout.Label("Last incoming message: " + m_LastReceivedMessage);

            if (m_ConnectionEstablished && GUILayout.Button("Send message"))
            {
                m_Writer.SeekZero();
                m_Writer.Write(m_NetworkMessage);
                byte error;
                for (int i = 0; i < m_ConnectionIds.Count; ++i)
                {
                    NetworkTransport.Send(m_HostId,
                        m_ConnectionIds[i], 0, m_Writer.AsArray(), m_Writer.Position, out error);
                    if ((NetworkError)error != NetworkError.Ok)
                        Debug.LogError("Failed to send message: " + (NetworkError)error);
                }
            }

            if (GUILayout.Button("Shutdown"))
            {
                m_NetworkMatch.DropConnection(m_MatchInfo.networkId,
                    m_MatchInfo.nodeId, 0, OnConnectionDropped);
            }
        }
        else
        {
            if (GUILayout.Button("Create Room"))
            {
                m_NetworkMatch.CreateMatch(m_MatchName, 4, true, "", "", "", 0, 0, OnMatchCreate);
            }

            if (GUILayout.Button("Join first found match"))
            {
                m_NetworkMatch.ListMatches(0, 1, "", true, 0, 0, (success, info, matches) =>
                {
                    if (success && matches.Count > 0)
                        m_NetworkMatch.JoinMatch(matches[0].networkId, "", "", "", 0, 0, OnMatchJoined);
                });
            }

            if (GUILayout.Button("List rooms"))
            {
                m_NetworkMatch.ListMatches(0, 20, "", true, 0, 0, OnMatchList);
            }

            if (m_MatchList.Count > 0)
            {
                GUILayout.Label("Current rooms:");
            }
            foreach (var match in m_MatchList)
            {
                if (GUILayout.Button(match.name))
                {
                    m_NetworkMatch.JoinMatch(match.networkId, "", "", "", 0, 0, OnMatchJoined);
                }
            }
        }
    }

    public void OnConnectionDropped(bool success, string extendedInfo)
    {
        Debug.Log("Connection has been dropped on matchmaker server");
        NetworkTransport.Shutdown();
        m_HostId = -1;
        m_ConnectionIds.Clear();
        m_MatchInfo = null;
        m_MatchCreated = false;
        m_MatchJoined = false;
        m_ConnectionEstablished = false;
    }

    public virtual void OnMatchCreate(bool success, string extendedInfo, MatchInfo matchInfo)
    {
        if (success)
        {
            Debug.Log("Create match succeeded");
            Utility.SetAccessTokenForNetwork(matchInfo.networkId, matchInfo.accessToken);
           
            m_MatchCreated = true;
            m_MatchInfo = matchInfo;

            StartServer(matchInfo.address, matchInfo.port, matchInfo.networkId,
                matchInfo.nodeId);
        }
        else
        {
            Debug.LogError("Create match failed: " + extendedInfo);
        }
    }

    public void OnMatchList(bool success, string extendedInfo, List<MatchInfoSnapshot> matches)
    {
        if (success && matches != null)
        {
            m_MatchList = matches;
        }
    else if(!success)
    {
        Debug.LogError("List match failed: " + extendedInfo);
    }
    }

    // When we've joined a match we connect to the server/host
    public virtual void OnMatchJoined(bool success, string extendedInfo, MatchInfo matchInfo)
    {
        if (success)
        {
            Debug.Log("Join match succeeded");
            Utility.SetAccessTokenForNetwork(matchInfo.networkId, matchInfo.accessToken);

            m_MatchJoined = true;
            m_MatchInfo = matchInfo;

            Debug.Log("Connecting to Address:" + matchInfo.address +
                " Port:" + matchInfo.port +
                " NetworKID: " + matchInfo.networkId +
                " NodeID: " + matchInfo.nodeId);
            ConnectThroughRelay(matchInfo.address, matchInfo.port, matchInfo.networkId,
                matchInfo.nodeId);
        }
        else
        {
            Debug.LogError("Join match failed: " + extendedInfo);
        }
    }

    void SetupHost(bool isServer)
    {
        Debug.Log("Initializing network transport");
        NetworkTransport.Init();
        var config = new ConnectionConfig();
        config.AddChannel(QosType.Reliable);
        config.AddChannel(QosType.Unreliable);
        var topology = new HostTopology(config, 4);
        if (isServer)
            m_HostId = NetworkTransport.AddHost(topology, k_ServerPort);
        else
            m_HostId = NetworkTransport.AddHost(topology);
    }

    void StartServer(string relayIp, int relayPort, NetworkID networkId, NodeID nodeId)
    {
        SetupHost(true);

        byte error;
        NetworkTransport.ConnectAsNetworkHost(
            m_HostId, relayIp, relayPort, networkId, Utility.GetSourceID(), nodeId, out error);
    }

    void ConnectThroughRelay(string relayIp, int relayPort, NetworkID networkId, NodeID nodeId)
    {
        SetupHost(false);

        byte error;
        NetworkTransport.ConnectToNetworkPeer(
            m_HostId, relayIp, relayPort, 0, 0, networkId, Utility.GetSourceID(), nodeId, out error);
    }

    void Update()
    {
        if (m_HostId == -1)
            return;

        var networkEvent = NetworkEventType.Nothing;
        int connectionId;
        int channelId;
        int receivedSize;
        byte error;

        // Get events from the relay connection
        networkEvent = NetworkTransport.ReceiveRelayEventFromHost(m_HostId, out error);
        if (networkEvent == NetworkEventType.ConnectEvent)
            Debug.Log("Relay server connected");
        if (networkEvent == NetworkEventType.DisconnectEvent)
            Debug.Log("Relay server disconnected");

        do
        {
            // Get events from the server/client game connection
            networkEvent = NetworkTransport.ReceiveFromHost(m_HostId, out connectionId, out channelId,
                m_ReceiveBuffer, (int)m_ReceiveBuffer.Length, out receivedSize, out error);
            if ((NetworkError)error != NetworkError.Ok)
            {
                Debug.LogError("Error while receiveing network message: " + (NetworkError)error);
            }

            switch (networkEvent)
            {
                case NetworkEventType.ConnectEvent:
                    {
                        Debug.Log("Connected through relay, ConnectionID:" + connectionId +
                            " ChannelID:" + channelId);
                        m_ConnectionEstablished = true;
                        m_ConnectionIds.Add(connectionId);
                        break;
                    }
                case NetworkEventType.DataEvent:
                    {
                        Debug.Log("Data event, ConnectionID:" + connectionId +
                            " ChannelID: " + channelId +
                            " Received Size: " + receivedSize);
                        m_Reader = new NetworkReader(m_ReceiveBuffer);
                        m_LastReceivedMessage = m_Reader.ReadString();
                        break;
                    }
                case NetworkEventType.DisconnectEvent:
                    {
                        Debug.Log("Connection disconnected, ConnectionID:" + connectionId);
                        break;
                    }
                case NetworkEventType.Nothing:
                    break;
            }
        } while (networkEvent != NetworkEventType.Nothing);
    }
}

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Integration using Unity's High-Level API
Common Errors