I read on https://learn.microsoft.com/en-us/azure/cognitive-services/openai/how-to/chatgpt?pivots=programming-language-chat-completions:
openai.api_version = "2023-05-15"
and on https://learn.microsoft.com/en-us/answers/questions/1193969/how-to-integrate-tiktoken-library-with-azure-opena:
openai.api_version = "2023-03-15-preview"
This makes me wonder: How can I select the proper openai.api_version? Does that depend on my Azure OpenAI instance or deployed models or which features I use in my Python code? Or something else?
I couldn't find the info in my deployed models:

The API Version property depends on the method you are calling in the API: all methods are not supported in all API versions.
Details are listed here: https://learn.microsoft.com/en-US/azure/cognitive-services/openai/reference
And preview API lifecycle is described here: https://learn.microsoft.com/en-us/azure/ai-services/openai/api-version-deprecation => check those pages for up-to-date references
As of March 7th, 2024: Example: "completions" endpoint is available in the following versions (ordered by date):
But "chat completions" endpoint is available only in the following versions (ordered by date):
Generally, use the latest "not preview" version for production when possible, as the preview versions might be retired on a more frequent basis.
As a complement to Nicolas R's answer: the API version property also depends on the model you are calling in the API. For example:
Support for the o1 series models was added in API version
2024-09-01-preview.
Note that, confusingly, if one tries to use an API version that doesn't exist (e.g., 2024-09-01-previewwww), one gets this error message:
openai.NotFoundError: Error code: 404 - {'error': {'code': '404', 'message': 'Resource not found'}}
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