Azazel appeared first as an event boss, where his summon PG was able to be looted. After the event finished, players were able to obtain his plug-in through the Secret Room instance. His fusion is a triple fusion of Astaroth, Ose, and Pazuzu.
"A leader of the Grigori, angels that descended to earth to watch over mankind. They lusted after beautiful human women, making them their wives, and taught the humans forbidden knowledge, angering God. Azazel had knowledge of weapons and cosmetics. Men soon learned how to fight, and women learned to be promiscuous."
—Shin Megami Tensei IV Profile
Azazel is fought in the Law-only Challenge QuestTaste of the Forbidden Fruit. He resides in Kiccigiorgi Forest, where he is spreading knowledge to the sons of man just as the Black Samurai did before him. He views Flynn as a puppet taking the shape of a child of man and knows why Flynn is before him. Azazel also considers Flynn a pitiful being for giving up his ability to think for himself before the battle starts.
At the beginning of the battle he mentions that he is merely giving those who seek freedom the knowledge necessary to become free, believing that the sons of man who gain knowledge will have the potential to become greater than Angels. As Azazel is defeated, he will be humiliated at being defeated by a tool of God before crumbling.
Azazel is one of the three Personas only usable in the EX Dungeon. To obtain Azazel he must be encountered while having Hanged Man Persona Shax, Barbatos, and Adramelech equipped for the purpose of Persona Talks. After having a Persona Talk with Adramalech, Azazel will give the Material Card "Black Goat" and Azazel's encounter rate will drop to zero.
Azazel is notable in that he is the only Persona that Absorbs Magic and Nulls Ailments while having no weakness to physicals, making him one of the best obtainable Personas available.
In Tatsuya's scenario he resides in the Tower of Impulse of the Kadath Mandala. He desires to have Maya Amano for himself and is willing to offer anything to have her. When Zula reveals his past he begins to boast about it, but Tatsuya wants the Trapezohedron of Impulse. Azazel then demands for Maya, but the Suou brothers refuse his demands. After fighting him they acquire the Trapezohedron of Impulse and leave the Tower.
Father of Elegy, he would set a trap for Lucifer that would seal him away before the game began. He then began to impersonate Lucifer and call himself the Demon Lord, as he desired to be the Demon Lord who ruled over all, eventually setting his sights on the Human and Angel worlds. He would deceive many demons into believing he was the real Lucifer and would then unleash them upon the earth to take it over. His identity is exposed by his daughter and Mammon to Setsuna Kai and Mirai Kaname.
Later in the game the two would confront him in the Dark Palace, where he drops his disguise and reveals his true form to battle them with. After his first defeat he begins to question why he ever wanted to rule everything in the first place and believed it was fate guiding him. This empowers him to defeat the two since he doesn't want to be a prisoner of fate, leading to a second fight. After his defeat he expresses awe at the strength of the two Devil Children, telling them their father is in the palace before dying. He can later be recruited in the Deep Hole.
Isn't it Lord Azazel? Oh my, I wasn't expecting to see you in a place like this!
Lady Adramelech... You haven't shown up for some time...
I, I'm sorry, Lord Azazel... I was planning on showing up but I had been summoned by these humans...
There's no need for excuses... I didn't think you had also been summoned by this human... Hmmm... Hahahahaha... Interesting... Very well, then... It is better for you to use me as your Persona than Lady Adramelech... This is your destiny... You can't run from it... Hahahahahahah... You will be trapped by my power... Bring this to the Velvet Room... The Mtl./Black Goat... You MUST summon me...