Though many deem the Daedra to be evil, Azura is one of the few that are, indeed, good Daedra. Viewed as such by the Dunmer, she is one of the Old Tribunal worshipped by the Chimer of old, and once more revered by modern-day Dunmer along with Boethiah and Mephala.
It is through Azura that the prophecy of the Nerevarine is put into motion and the punishment of the New Tribunal is enacted.