Microsoft has begun rolling out more integration between Yammer and Office 365. You can now use your Office 365 credentials to sign into Yammer. You will also see your Office 365 Suite Bar at the top of your Yammer pages.
The update is being rolled out between December 2014 and March 2015 so you may not have it quite yet. Also, Yammer Enterprise must be activated and Yammer single sign-on (SSO) must be disabled.
This is a big step to making Yammer feel more a part of the Office 365 family!