So, about the spiky bits that Azhrune has on his elbows. Figured I'd clarify what they are--or rather, what they're made of, since I've had a couple of people mistake them for fur.
The technical term for them is olecranal barbs [from "olecranon," which is the pointy bit of the elbow]. They're actually cartilaginous structures. This means they've got some flexibility, say about as much as the lateral cartilage in your nose. Meaning they can be squished or folded a bit without too much discomfort, but they can also be broken, again similarly to the nose.
Some demons have them, some don't, but they're generally considered a desirable physical trait to demons. Remember what I said once upon a time about Juxcubae being considered attractive for whatever particular type of demon they are? Azhrune's spikes are pretty showy. He's got three at each elbow, which isn't too common, and they're pretty prominent. The largest one on each side juts out a good three inches past the end of the elbow and the shorter ones are half that, and demon dudes and ladies are like "daaaaayum" when they see that shit.
It's kind of a weird thing. They don't serve any real purpose or have any sort of function. They're just...there. But demons like 'em.
Also while I'm rambling about demon anatomy: The spade-like parts at the end of his tails are more like the cartilage at the top of the ear, or at least the sides are, as the central "stalk" does actually have bone in it [naturally]. And again, Azhrune is considered plenty attractive for having two [very long and slender] tails.
He's, uh. A pretty popular guy at work. Among many kinds of clients.