Azure Firewall is a fully managed, cloud-native and intelligent network security service that provides the best threat protection for cloud workloads running in Microsoft Azure. It helps to secure the incoming and outgoing traffic. It is an excellent system that automatically detects the workloads in the VNet and protects all resources from malicious traffic. Implementation process is very simple. We need to set and configure rules like Nat rules, Application rules, and Network rules to be applied on the Azure Firewall. Azure Firewall provides two SKUs: 

• Standard
• Premium

Advantages

• Microsoft Azure firewall ensures 99.99% availability
• Azure firewall offers enough features for optimized control.
• Azure Firewall eliminates the need for Load Balancer configuration.
• No extra charge for scalability, pay only for what you use.
• Supports FQDN service.
• Azure Firewall enables threat intelligence features.
• Azure Firewall is a complete package compared to Azure Network Security Groups.