Azelf

Azelf (アグノム Agnome) is the spirit of Willpower, and is part of the Legendary Trio persisting of Uxie, Azelf, and Mesprit. It lives underneath Lake Valor to keep the world in peace.

In the Anime
In the Anime, Azelf has only appeared once so far in Pokemon: Battle Dimension. Ash is taking a walk on the night of the Wallace because he can't sleep. He walks out to Lake Acuity and suddenly there is a powerful blast of wind. He looks at the sky which is perfectly cloudless and hears an enormous sound. He looks at the river where there are ripples in the water. A small drops of water spray out and Ash sees a bright light which is in the shape of Azelf. Azelf goes out close to Ash, makes a soft cooing-like sound backs into the center of the lake where a huge waterfall spurts out. When it ends, Azelf is gone, and Ash is rather puzzled. Then the cooing noise fades off in an echo, ripples appear in the water once more, and a large gust of wind.

Game Info
Azelf made it's debut in D/P, where you can catch him after confronting Dialga/Palkia. In Platinum, Azelf, Mesprit, and Uxie help guide you through the distortion world where you can capture Giratina. In Pokemon Explorers Of Time/Darkness, Azelf plays the part as the guardian of a Time Gear and to get to him and the time gear, you must turn the crystals to the color of Willpower, which apparently is blue, thus explaining the color on Azelf's head.