Azazel is one of the eight Grigori, angels that were exiled to earth to watch over humanity
One of the triumvirate of Hell, Azazel is a giant black flame filled with eyes and teeth..
In the Sandman series, Lucifer gave up Hell and gave the Key to Hell to Dream, who later held court in the Dreaming as to who should be the owner.Since Azazel wanted to be the ruler, he kidnapped Nada, who was Dream's lover, but, since she rejected him, was sent to Hell by Dream. Azazel wanted to offer Nada as a trade for the key, he also offered Choronzon, a Duke of Hell Dream recently beat in a challenge for Dream's Helmet.Dream gave the key to Duma and Remiel, two angels. Azazel was angered that he was not chosen, so he threatened then attacked Dream. When it looked like like he has swallowed Dream, it was Dream who had him. He put Azazel in a small glass jar in a trunk with other mementos and knickknacks. He is still there today