Azyr
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"The path to paradise begins in hell."
- Dante Alighieri
Azyr was originally the wind of magic related to all things celestial, being it stars, lightning bolts and similar phenomena, as in the Age of Sigmar, it has become the realm of this god and the main stronghold of civilization and order in the Warhammer multiverse, needless to say, it's the main source of resistance against the forces of Chaos.
During Warhammer Fantasy Battle
Back in the good old days of yore and the Winds of Magic, Azyr was the blue wind related with the heavens, the source of its lore and the capability to bring understanding and compression where there shouldn't be none. Azyr was also associated, paradoxically (or perhaps not) with dreams, divination, theory and the desire to reach something, we may dare to even say hope, but without the chaotic implications. Back during the earlier days of the Empire, our mollusk friend managed to trap Sigmar there, this may actually has not go as well as expected, as Azyr became linked to Sigmar's essence, turning him in one of the Incarnates, AKA The Warhammer Avengers.
In the Age of Sigmar
Genesis
While Sigmar was incapable to save the-world-that-was, he and the wind of Azyr, along with the core of Warhammer's world managed to survive despite getting sucked into a Chaos Vortex, being everyone's and Games Workshop favourite God-EmperorKing, he came back, and after making pals with Dracothion, a star-drake which has the power to restart realities (read: set a new stage despite everything getting bombed by the the above mentioned Chaos Vortex), he set to rebuild all he has lost, using as base of operations the core of the-world-that-was, thus the realm of Azyr was born.
Meanwhile, the lizardmen, now space dinosaurs, drifted the void in their temple-ships for ages, until they too found Seraphon, he helped them get a new home in the higher levels of Azyr, there were not even the Chaos Gods could reach, allowing for our scaly friends to start his great job of getting the Cosmos rid of Chaos once and for all.
During long centuries Sigmar build up the new realm, this time taking full advantage of being immortal and doing his best to make it ready so there will be no The End Times 2.0, from his space capital of Azyrheim and fortress of Sigmaron he directed his Utopia, and needless to say he did a fine job, forming a massive alliance along with the other 7 realms and laughing off the first attempts of Chaos to do his thing and destroy his shiny new worlds.
Apocalypse
Sadly Chaos still had Archaon up the sleeve, who happens to have as much plot-armour as Sigmar and GW needed some sort of apocalyptic war anyway (how else would they sell their minis?). So yeah, Chaos managed to conquer 7 of the 8 realms and start corrupting them.
Sigmar, of course, was very pissed off, like Emprah, he decided he would need Space Marines, unlike Emprah, he decided it would be a very good idea to make them immune to Chaos, also, at difference of Emprah, he already had "warp" powers in the form of the wind of Azyr, so he did the intelligent thing and closed the gates of Azyr and activated some sort of camo-field so not even Tzeentch would see what he was doing.
Cancelling the Apocalypse
After many failed attempts to force the Gates of Azyr Chaos decided to ignore them all along, this made a lot of Chaos Lords very bored, wishing for a real challenge as preying on little post-apocalyptic tribes loses all its appeal after a couple of millennia.
Meanwhile, back in Azyr, and after long meditation, Sigmar started his great work, he worked and worked, for long days and nights across centuries, sometimes his tears of sorrow cooling the metal he was working on, as he was capable to see what Archie & Co were doing with the other realms (An eg: turning people into statues by dropping molten silver over them). Eventually he and his subjects got ready, a thousand Stormcast Eternals chambers, the tip of a lance composed of the innumerable armies which Azyr now could muster after enjoying hundreds of years of peace (we wish the old Empire and the Imperium had had this, other would have been their respective stories).
Sigmar launched his armies with the Stormcast Eternals as superhuman shock troopers who give zero fucks about daemonically empowered vikings and chaos shenanigans, followed by the Devotes of Sigmar (Azyr's church militant), the Free People (Imperial Guard badass normals, read, the good, old Empire), the Collegiate Arcanum (Azyr's battle magic) and the Ironweld Arsenal (because Sigmar may have realized even daemons have a hard time against tanks and artillery).
All these forces along with the aelf and duardin auxiliaries as well as Fyreslayers mercenaries and the mysterious and apparently random help of the Seraphon have managed to establish beachheads all across the 7 realms and they are now in the process of the purifying and expanding the territories taken, making Azyr the first Games Workshop kingdom of order to make a true comeback since... well, since forever, which is something many imperial fans actually feel very happy.
Force of Azyr
These are the most representative forces of Azyr, being supplied by auxiliaries whose origins are from other realms.
Stormcast Eternals
Sigmar's elite, popularly known as sigmarines, they are like Grey Knights with far less grimdark and more humanity.
Devotes of Sigmar
The church of Sigmar, they are good at cleaning KAY-OSS by the convenient use of whips and faith.
Collegiate Arcanum
Sigmar is magic, Sigmar is life, they use arcane devices and spells to channel the power of the God-King, with the very nature of Azyr being highly effective against Chaos.
Free People
The rank and file of Azyr forces, the grunts, the doughboy, the duckfoot, only this time they can see their god and know that he truly cares about them, they are the old Empire, brought back as citizens of Azyrheim, the great city of Sigmar.
Ironweld Arsenal
Say hello to the 21st century! Steam-punk tanks and artillery, we hope you didn't throw your Steam-tank when The Endtimes happened, but with them being so awesome you may want to bring a Leman Russ tank instead.
Seraphon
While there is no former alliance between Sigmar's armies and them, both forces seem to recognize they have aligned goals, with both of them having fought Chaos side by side.