In the Denzel Washington movie "Fallen", Azazel is the fallen angel committing the murders. Sorry I just totally gave away a large section of that movie. In the Sandman comic books, Azazel is one of hell's three rulers and gains the Sandman's wrath by holding Nada (the Sandman's former love) inside itself as ransom for the Key to hell.
On the television show "Hex" one of the main characters is called Azazeal (sic). He is supposedly the leader of the nephelim, a group of fallen angels. Keep in mind that this show is a VERY loose interpetation of this belief and should in no way bias your choice in naming your kid this. I think it's quite nice personally.
In the Sandman comic books, Azazel is one of hell's three rulers and gains the Sandman's wrath by holding Nada (the Sandman's former love) inside itself as ransom for the Key to hell.