Azazel's real name is not revealed until the Episode "Sin City" so we really only know him as the Yellow Eyed Demon or YED for short.  He is the one who has created his own "army" of Special children, which Sam was to be part of.  On their sixth month birthday Azazel would enter their rooms and bleed into their mouths.  When he did this to Sam, Mary interfered and was killed for her actions.  He was killed by Dean using the Colt.