Is it possible to instrument a windows service running on premise with Application Insights? It's not necessary to have it automatically collecting metrics of the application like it does with Web applications, pushing custom events to Azure would suffice.
Best How To :
I'll make the docs a bit more clear on this. You can instrument anything if there's a core SDK that will build with it. So any kind of .NET, Java, PHP, OSX, iOS, Android, .... If you want additional modules that log web requests, crashes, etc, you're a little bit more restricted.
For Windows Services on premises, follow what you see here: https://azure.microsoft.com/documentation/articles/app-insights-windows-desktop/