Currently, with one of my purchases, I bought Azmodan out of curiosity. Before him I played a lot of Jaine and Rehgar, getting them both to about level 8. I really do enjoy Azmodan though and think he's very underrated.
1) He's an incredible laner having both a powerful AOE in his Q and single target DPS in his E.
2) His W and R allow you to solo all PvE mobs incredibly quickly, espeically Golemns. (When the PvE objective comes up, if it's the mines or the garden map, I will always go to a Golemn first and solo kill it before the opposing team can get there.)
3) His E allows you to take down oppnents PvE npcs, like the Dragon, Plant creation and Golemn much faster.
4) His E also takes down opposing towers, turrets, gates and healing pools incredibly fast.
5) Built correctly, there aren't many solo heroes that can defeat just his E ability. He can pretty much solo any support, Melee tank/warrior.