WouW
Smash Lord
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#487 Azelf
Psychic
Levitate: User is immune to Ground moves
75HP/125Atk/70Def/125SpA/70SpD/115Spe
Lead
Azelf @ Focus Sash
Levitate/Naive
252Spe/252SpA/4Atk
Stealth Rock
Fire Blast
Psychic
Explosion
Set up SR, hit the hell out of most other leads (Infernape, Gengar, Yanmega, Bronzong to name a few) and then explode. Taunt may be used to stop other leads like Bronzong or Hippowdon. With these stats, it OHKOs Infernape, Yanmega, has a slight chance to OHKO Metagross and 2HKOs Bronzong and Aerodactyl, and can blow up on most other Pokémon/leads, if they form a threat.
Trickscarf Lead
written by A_man13
Azelf @ Choice Scarf
Levitate/Timid
4HP/252SpA/252 speed
Trick
Thunderbolt
Flamethrower
U-turn
Tricks scarf on to tank to trap them setting up or stays in to deal damage. U-turn out if you can't deal damage with your other two moves and give your next poke a fair switch in. Since it's one of the fastest trick pokes in OU, scarfing leads that setup or having near guaranteed priority is nothing to laugh at.
Nasty Plot Sweeper
Azelf @ Life Orb
Levitate/Timid
252SpA/252Spe/4HP
Nasty Plot
Psychic
Flamethrower
Hidden Power Fighting
Nasty Plot to get 907 Special Attack (with Life Orb included) and sweep the **** out of the opponent. Psychic for STAB, Flamethrower versus Weavile switchins and Steels and Hidden Power for Darks and Heatrans. Timid and 252 speed EVs bring 361 speed, tieing with Timid Starmie and other Azelf and outspeeds neutral natured Jolteon, Aerodactyl and Weavile and positive natured Gengar and Infernape.
Choice Specs
Azelf @ Choice Specs
Levitate / Naive/Rash
252SpA/252Spe/4Atk
Psychic
Flamethrower
Hidden Power Fighting
Explosion
Have fun with 574 (with Rash) or 523 (with Naive) Special Attack on the switch. Psychic for STAB, Flamethrower for Weavile and Hidden Power Fighting for Darks and Heatran. Explosion is for Blissey or Cresselia. Use Naive if you want more speed - see the 361 speed comment in the above set.
Other options:
Grass Knot if you hate Swampert. Shadow Ball if you want to beat other Azelf leads. I can't really think of much else.
EVs:
Azelf wants Special Attack to dish out as much damage as possible, and speed to outspeed quite a few common threats. The remaining four points go to HP.
Troublesome Pokémon:
Spiritomb is immune to Psychic, HP Fighting and Explosion and has STAB SE Sucker Punch and Pursuit. Blissey walls it well and can cripple it with Thunder Wave. Cresselia can do that as well. If you have Grass Knot over Hidden Power Fighting, Houndoom threatens. Same with Heatran. Weavile fears Flamethrower but outside from that it counters Azelf.