Azura, whose sphere is dusk and dawn, the magic inbetween realms of twilight; known by the names The Daedric Prince of Moonshadow, Mother of the Rose, and Queen of the Night Sky.
Azura maintains the domain of Moonshadow, a twilight country of shades and half-thoughts. Visitors to this isle have historically come mainly from the Dunmer of eastern Morrowind (as Azura is one of the Dunmeri three Good Daedra) and the catfolk of Elsweyr, whose people both hold a great affection for the mother of immanence, though by separate roads.
According "The Doors of Oblivion", Moonshadow is a very beautiful place. Flowers, waterfalls, majestic trees, and a city of silver decorate the realm, but it is all a blur. The colors run like water. It's damp from the rainy weather while the wind smells like perfume.
The summoning date of Azura is 21st of First Seed (also known as Hogithum). Azura can also be summoned in her shrine, if the summoner offered glow dust, while the time was at dawn or dusk.
According to "Darkest Darkness", the Winged Twilight is a messenger of Azura, Goddess of Dusk and Dawn. Winged twilights resemble the feral harpies of the West, though the feminine aspects of the winged twilights are more ravishing, and their long, sharp, hooked tails are immeasurably more deadly.
As mentioned above, Azura is one of the three Good Daedra of the Dunmer. The Good Daedra are Azura, Boethiah and Mephala. They were mostly worshipped by the Chimer prior to the apotheosis of the Tribunal, and their changing to Dunmer. The Dunmeri Temple acknowledges them as the anticipations of the Tribunal. Azura is the anticipation of Sotha Sil, Boethiah is the anticipation of Almalexia and Mephala is the anticipation of Vivec.
Back in the Merethic Era, Boethiah "illuminated" the Prophet Veloth and his Chimer followers to renounce all ties to the Aldmer and found a new nation based on Daedric principles (it is Morrowind today). Azura taught the Chimer the mysteries needed to be different than the Altmer. Mephala taught the Chimer the skills they would need to evade their enemies or to kill them with secret murder. Enemies were numerous in those days since the Chimer was a small faction. Mephala, along with Boethiah, organized the clan systems that eventually became the basis for the Great Houses of the Dunmer.
"Azura (Goddess of Dusk and Dawn): Azura was the god-ancestor that taught the Chimer the mysteries needed to be different than the Altmer. Some of her more conventional teachings are sometimes attributed to Boethiah. In the stories, Azura is often more a communal cosmic force for the race as a whole than an ancestor or a god. Also known as the Anticipation of Sotha Sil. In Elsweyr, Azurah is nearly a wholly separate entity, yet she is still tied into the origins of Khajiiti out of Altmeri stock."
- Varieties of Faith in the Empire
In 1E 415 Indoril Nerevar and Dumac Dwarfking united their people, the Chimer and the Dwemer, into one powerful nation called Resdayn. However the principal differences between Chimer and Dwemer were too numerous. The construction of the Numidium by Kagrenac and utilization of the Heart of Lorkhan for fueling the Numidium made the two Elven races finally clashed in the War of the First Council.
The Dwemer were nigh invulnerable due to their connection with the Heart. However, a clever trick done by Nerevar made him and his small troop able to infiltrate the headquarters of the Dwemer, bested the leaders of the Dwemer, and snatched Kagrenac's Tools. They are the tools used by Kagrenac to tap the divine power of Lorkhan's Heart. According to "Nerevar at Red Mountain", Nerevar summoned Azura, asking what to do with Kagrenac's Tools. She told Nerevar how to use the tools to separate the power of the Heart from the Dwemer people. When Nerevar used the tools, all the Dwemer vanished from mortal world. There are many controversies on this issue, though, and it is not the scope of this section to discuss it. What is important here is according to "Nerevar at Red Mountain" Azura is responsible for the disappearance of the Dwemer.
After the War of the First Council and the death of Indoril Nerevar, the Tribunal used the tools to tap the divine power of Lorkhan and emerged as gods. The Tribunal broke all ties with the three Daedric Princes. Furious by this action, Azura cursed the Tribunal and the rest of the Chimer race. Their skin changed from golden-hue to ash-color, and their eyes turned to the color of fire. From that moment on, they were known as the Dunmer. Azura prophesized that Nerevar would come back to punish the Tribunal - The Nerevarine Prophecies.
Although the Dunmer broke all ties with the three Good Daedra, they still accommodate the ancient worship of the Daedra by stating that the three Good Daedra are the anticipations of the Tribunal. As mentioned above, Azura is the anticipation of Sotha Sil, Boethiah is the anticipation of Almalexia and Mephala is the anticipation of Vivec. Please note that, the term Anticipation is just the political/doctrine term that is used by the Dunmer, as is the term of "Good Daedra". There is no absolute good or evil in the world of The Elder Scrolls.
The book "Azura and the Box" tells of how Azura was tricked by a Dwemer in simple test of "what is in the box?" Being a goddess she knew exactly that there was flower with red petals inside the box; but when the box was opened, there was nothing inside. Azura was furious and according to some this triggered her hatred toward the race.
Here's what Ted "Tedders" Peterson has to say about this text:
"The tale may not have even happened, but if it did, here are the salient points:
1.Azura was right
2.She thought she was wrong
To the Dwemer, this meant that though the Daedra were omnipotent and omniscient, they had doubts. There was a crack in their armor. There exists a possibility, even slight, even infinitesimally small, that they can be wrong.
This is extreme heresy."
According to "Words of Clan Mother Ahnissi to her Favored Daughter", Azura is also responsible for the creation of the Khajiit race as she was given the three secrets of creation. When Nirn was so sad that her children (the forest people) did not have shape, Azura helped her. She takes the forest people and changes them to Khajiit.
"And Azurah came to her and said, "Poor Nirni, stop your tears. Azurah makes for you a gift of a new people." And Nirni stopped weeping, and Azurah spoke the First Secret to the Moons and they parted and let Azurah pass. And Azurah took the forest people who were torn between man and beast, and she placed them in the best desserts and forests on Nirni. And Azurah in her wisdom made them of many shapes, one for every purpose. And Azurah named them Khajiit and told them her Second Secret and taught them the value of secrets. And Azurah left and spoke the Third Secret to the Lunar Lattice and bound the Khajiit to the Lattice, as is proper for Nirni's secret defenders. Then Azurah spoke the Third Secret again, and the Moons shone down on the marshes and their light became sugar."
In 3E 427, the Emperor Uriel Septim VII released a slave with uncertain parents and born on a certain sign, to uncover the prophecies of the Nerevarine. Somehow, Azura blessed this slave and guided his path. After a long perilous journey in Vvardenfell, the slave was acknowledged as the Nerevarine by four Ashlander Tribes and selected as Hortator by Houses Redoran, Hlaalu and Telvanni. With the help of Vivec, he eventually fulfilled the Nerevarine prophecies by destroying Dagoth Ur, the patriarch of resurfacing ancient House Dagoth. The Nerevarine severed Dagoth Ur's connection with the Heart of Lorkhan, effectively destroyed him and the new construct called Akulakhan. With this action, he also removed the blight that had been haunting Vvardenfell settlements for centuries, through the use of Kagrenac's Tools. Unfortunately, severing Dagoth Ur's connection to the heart also severed the connection of the Tribunal to the heart, thus leading to the undoing of their godhood. Azura showed up and congratulated the Nerevarine. More of this is told in the Story of Morrowind.
Shaken by the changing of power in Morrowind and mostly the loss of her godhood, Almalexia loses her sanity kills Sotha Sil. She lured the Nerevarine to the Clockwork City of Sotha Sil in order to finish him there and return as the only god to be able to unite the Dunmer. But, she failed and was killed by the Nerevarine. Azura showed up again after this event, and congratulated the Nerevarine. Some scholars believe that Azura was the mastermind of this undoing of the Tribunal, while the Nerevarine was just a puppet. More of this is told in the Story of Morrowind - Tribunal subsection.
Recently there has been news that the Daedric realm of Azura, Moonshadow is inaccessible. Whether this has to do with the unlawful incidents at Hogithum Hall in the Capital City or mere whim of Azura herself, no one can say. For more information about this unlawful incident please read the Trial of Vivec.
During the Oblivion crisis, Azura was summoned by the Champion of Cyrodiil in her shrine north of Cheydinhal. She asked the champion to help her end the suffering of her followers that were infected by Vampirism. By slaying these Vampires, Azura expressed her gratitude and rewarded the champion Azura's Star. A powerful artifact that can be used to store soul and may be used multiple time, unlike standard soul gems. Detail conversation of the event can be read here.
She once gave the same artifact to the hero of Daggerfall, after slaying a priest who offended her. She also rewarded it to the Nerevarine. At that time Azura and Sheogorath placed a bet that for 100 years, one of Azura's priestess could live in solitude without madness. When the time had almost passed, Sheogorath cheated. He sent his Golden Saint named Staada and her host of Daedric creatures to break the solitude. The Nerevarine killed the Golden Saint and took her ring as a proof for Azura to confront Sheogorath. Detail conversation of the event can be read here.