I've been playing a bit with Azure – dipping my toe into the waters, so to speak. As to be expected, there are a ton of cmdlets available to help you automate Azure management. On his blog article at: http://regularitguy.com/2014/03/13/installing-the-windows-azure-powershell-cmdlets/, Rick Claus (a Microsoft evangelist) takes a look at the Azure cmdlets and how to install them.
At present, you obtain the cmdlets by letting the Platform Installer install them. There does not appear to be a simpler way of getting them – maybe in the future. But in the mean time, Rick points out that updates to the Azure module can be obtained by re-running the Platform Installer. Personally – I would prefer the module to be available in a more automated fashion.