Keeping an eye on failed logins and the user accounts that are being targeted is an important part of being responsible for an Office 365/Azure Active Directory tenant.
If you can afford the higher-level O365/Azure AD plans, there are great tools built in to the Azure Portal that allow useful intelligence into your security posture.
For The Rest of Us(tm), we sometimes need to be a little creative to gather the information needed. For on-premises Active Directory Federation Services (ADFS) servers, I put together a simple, quick and, perhaps slightly hacky script to extract the usernames from recent failed login events from the Windows Event Log and dump them, along with the rest of the Windows Event, to a CSV file for later analysis.
This specifically searches event logs from the past 12 hours (43200000 milliseconds in the $query).
Note that this is heavily dependent upon the format of the event message having the username on the (zero-indexed) line 14. Works for us — no warranties, etc. etc.!