This is rather obvious and simple lead set, and it's not up on the Azelf page, so I guess someone needs to do it.
Status: Posted, check me everyone!!
http://www.smogon.com/dp/pokemon/azelf
[SET]
name: Lead V2
move 1: Stealth Rock
move 2: Taunt
move 3: Explosion
move 4: U-Turn
item: Focus Sash
nature: Jolly
evs: 252 HP / 4 Atk / 252 Spe
[SET COMMENTS]
<p>This lead allows Azelf to act both as a scout and a suicide lead. Since many leads like Metagross and Machamp use anti-lead sets just to stop Azelf from setting up Stealth Rock and Exploding, Azelf needs to adapt to the different anti-leads. Against dangerous leads like Metagross, Azelf can just U-Turn away to a counter. Against leads that cannot stop Azelf from doing what it normally does (Setting up Stealth Rock and Exploding), Azelf can just go about its business.</p>
<p>Since Azelf is being used as a lead, Stealth Rock is obviously the key move of the set, and Azelf is usually able to lay down Stealth Rock for the team. Taunt allows Azelf to shut down slower leads like Swampert, while setting up Stealth Rock itself. Explosion allows Azelf to take out an opposing Pokemon after it has done what it is supposed to do. U-Turn is what differentiates this set with other lead sets. It can allow Azelf to do multiple things. Against fast, frail leads like Aerodactyl and other Azelf, U-Turn can be used to break the opposing lead's Focus Sash, opening them up to a kill next turn. Against dangerous leads like Metagross and Machamp, Azelf can U-Turn out to safety so it can set up Stealth Rock later.</p>
[ADDITIONAL COMMENTS]
<p>The HP EVs allow Azelf to be as bulky as possible without compromising Speed. Max speed is still used so Azelf can speed tie with other Azelfs to Taunt them and stop them setting up Stealth Rock. It also allows Azelf to speed tie with anti-lead Starmie and hopefully U-Turning out to a counter to take Starmie's Hydro Pump or Surf before getting hit. Focus Sash is the preferred item, since Azelf is still very frail.</p>
<p>When using this set, it is very important to play this differently from the standard lead set. Since suicide lead Azelfs are extremely predictable (Taunt, Stealth Rock and Explode), many players can easily switch in a Ghost-type like Rotom-A or Gengar to absorb the Explosion and make the Azelf user waste a Pokemon. Due to this, it is usually a better idea to U-Turn away after you set up Stealth Rock, even if Azelf would be KO'd by Stealth Rock after coming back in. This way, it allows Azelf to scout out the opponent's team and at worst be death fodder later in the game. Explosion is also not a move that should be used readily. A well-timed Explosion on a wall or a dangerous sweeper can easily change the fate of the match. This is why it is usually better to Explode later in the game when more information about the opponent's team has been revealed. Azelf can also come in as a Stall-breaker later in the game if it needs to, since it can easily come in on a wall, Taunt it and U-Turn to a counter.</p>
<p>Since Azelf is usually very successful at setting up Stealth Rock, it should be used alongside powerful sweepers that can take advantage of it. Potent OU sweepers like Dragon Dance Gyarados, Dragon Dance Tyranitar, Swords Dance Lucario and Nasty Plot Infernape all appreciate the extra residue damage that turns much needed 2HKOs into OHKOs or 3HKOs into 2HKOs. Stealth Rock also reduces the staying power of common OU walls and tanks like Gyarados and Zapdos. Since lead Azelf is usually a standalone Pokemon that is usually quite successful in what it does, it does not need significant team support as such. However, leads such as Choice Scarf Jirachi can give Azelf trouble by flinching it to death with Iron Head. Magnezone can easily switch into Jirachi and trap it with its 4x resistance to Iron Head and either set up Substitutes or KO Jirachi. Other leads that could potentially give Azelf trouble are sleep leads with Choice Scarf, the most common being Breloom and Smeargle. Sleep absorbers like RestTalk Rotom-A are also good partners for Azelf.</p>
Status: Posted, check me everyone!!

http://www.smogon.com/dp/pokemon/azelf
[SET]
name: Lead V2
move 1: Stealth Rock
move 2: Taunt
move 3: Explosion
move 4: U-Turn
item: Focus Sash
nature: Jolly
evs: 252 HP / 4 Atk / 252 Spe
[SET COMMENTS]
<p>This lead allows Azelf to act both as a scout and a suicide lead. Since many leads like Metagross and Machamp use anti-lead sets just to stop Azelf from setting up Stealth Rock and Exploding, Azelf needs to adapt to the different anti-leads. Against dangerous leads like Metagross, Azelf can just U-Turn away to a counter. Against leads that cannot stop Azelf from doing what it normally does (Setting up Stealth Rock and Exploding), Azelf can just go about its business.</p>
<p>Since Azelf is being used as a lead, Stealth Rock is obviously the key move of the set, and Azelf is usually able to lay down Stealth Rock for the team. Taunt allows Azelf to shut down slower leads like Swampert, while setting up Stealth Rock itself. Explosion allows Azelf to take out an opposing Pokemon after it has done what it is supposed to do. U-Turn is what differentiates this set with other lead sets. It can allow Azelf to do multiple things. Against fast, frail leads like Aerodactyl and other Azelf, U-Turn can be used to break the opposing lead's Focus Sash, opening them up to a kill next turn. Against dangerous leads like Metagross and Machamp, Azelf can U-Turn out to safety so it can set up Stealth Rock later.</p>
[ADDITIONAL COMMENTS]
<p>The HP EVs allow Azelf to be as bulky as possible without compromising Speed. Max speed is still used so Azelf can speed tie with other Azelfs to Taunt them and stop them setting up Stealth Rock. It also allows Azelf to speed tie with anti-lead Starmie and hopefully U-Turning out to a counter to take Starmie's Hydro Pump or Surf before getting hit. Focus Sash is the preferred item, since Azelf is still very frail.</p>
<p>When using this set, it is very important to play this differently from the standard lead set. Since suicide lead Azelfs are extremely predictable (Taunt, Stealth Rock and Explode), many players can easily switch in a Ghost-type like Rotom-A or Gengar to absorb the Explosion and make the Azelf user waste a Pokemon. Due to this, it is usually a better idea to U-Turn away after you set up Stealth Rock, even if Azelf would be KO'd by Stealth Rock after coming back in. This way, it allows Azelf to scout out the opponent's team and at worst be death fodder later in the game. Explosion is also not a move that should be used readily. A well-timed Explosion on a wall or a dangerous sweeper can easily change the fate of the match. This is why it is usually better to Explode later in the game when more information about the opponent's team has been revealed. Azelf can also come in as a Stall-breaker later in the game if it needs to, since it can easily come in on a wall, Taunt it and U-Turn to a counter.</p>
<p>Since Azelf is usually very successful at setting up Stealth Rock, it should be used alongside powerful sweepers that can take advantage of it. Potent OU sweepers like Dragon Dance Gyarados, Dragon Dance Tyranitar, Swords Dance Lucario and Nasty Plot Infernape all appreciate the extra residue damage that turns much needed 2HKOs into OHKOs or 3HKOs into 2HKOs. Stealth Rock also reduces the staying power of common OU walls and tanks like Gyarados and Zapdos. Since lead Azelf is usually a standalone Pokemon that is usually quite successful in what it does, it does not need significant team support as such. However, leads such as Choice Scarf Jirachi can give Azelf trouble by flinching it to death with Iron Head. Magnezone can easily switch into Jirachi and trap it with its 4x resistance to Iron Head and either set up Substitutes or KO Jirachi. Other leads that could potentially give Azelf trouble are sleep leads with Choice Scarf, the most common being Breloom and Smeargle. Sleep absorbers like RestTalk Rotom-A are also good partners for Azelf.</p>