Azure is the color of the bright sky. It is named after lapis lazuli, a mineral of an enchanting bright blue color. It is also the shade of blue used in heraldry. In Chinese mythology, the Azure Dragon symbolizes the East (which makes sense, since geographically the East from China is equal to the ocean and the endless sky). When someone is looking for a good story however, another azure creature definitely takes the cake.
Journey to the West. At one point in their journey (Chapter 74 in the book) the Monkey King and Co. get word that on the mountain blocking their way there are three terrifying demon kings surrounded by an army of smaller demons. The three kings of Lion Camel Ridge are the Azure Lion, the Yellow Tusked Elephant, and the Golden Winged Great Peng who is essentially Garuda gone bad. Monkey uses some trickery to get rid of the small demons, by spreading rumors so horrifying about himself that even the kings start panicking. But while he is enjoying the chaos he created, Monkey gives himself away (with a giggle...), and gets captured by the Great Peng, who puts him in a magic jar that can liquefy any person in under an hour. Monkey gets very close to panicking himself, but in the end drills a hole in the side of the jar and escapes. He returns shortly after and fights the Azure Lion head on. It is a match between equals: just like Monkey, the Azure Lion had also stolen some of the Peaches of Immortality once upon a time, and fought the armies of Heaven. While Monkey can transform into many shapes, the Azure Lion can grow big enough to swallow an entire army. Taking advantage of this move, Monkey allows the demon to swallow him.
An amusing scene ensues when the Azure Lion returns home and tries to throw up the Monkey King... in order to cook him and eat him again. Monkey anchors himself in his stomach and refuses to be purged out, claiming that he had been looking for a nice warm cave to spend the winter in anyway. He explains how he will just nibble on the Azure Lion's intestines until spring rolls around. The Lion tries to purge him with copious amounts of wine, but instead of drowning, Monkey gets drunk. Finally he makes a deal with his host to come out, but suspects that the Lion will bite him in half on the way out, to sticks out his brass bo staff first, and the Azure Lion losses a few teeth in the deal. In order to ensure there will be no more shenanigans, Monkey ties a rope around the lion's heart; if he gets up to any more tricks, he can just yank on the rope and kill him. On order to stop the lion from biting down on the rope, Monkey comes out through the demon's nose, and gets sneezed into freedom.
Manjusri, the bohisattva of wisdom, orders the Azure Lion to heel, and takes the unruly pet back home to the Western Heaven.
(This delightful episode is technically not the first time Monkey runs into the Azure Lion. Earlier in the story they fight him once, disguised as the Lion-Lynx Demon. In that case the Azure Lion was acting as an obstacle with Manjusri's knowledge and expressed permission at the Buddha's order, who decided that the heroes needed some extra villains to fight on the road to the West. Go figure.)
Literary note: Lapis lazuli is used to create the color known as Sacré Bleu. If you want to read a masterful, engaging, entertaining and hilariously funny novel on the magical history of the sacred blue, go and buy Christopher Moore's Sacré Bleu immediately.