Azure virtual machines have a variety of built-in extensions that can enable configuration management. There are two extensions for Windows PowerShell. The custom script extension allows you to run a script on a virtual machine at provisioning time or after it is running. The Windows PowerShell DSC Extension allows you to define the state of a virtual machine using the PowerShell Desired State Configuration language and apply it. There are also extensions that allow you to configure your virtual machines to use open source configuration management utilities such as Chef or Puppet.
To get list of available extensions, use cmdlet Get-AzureVMAvailableExtension
To filter output, pipe this output to select object and specify important properties like extensions name etc.:
Get-AzureVMAvailableExtension | select ExtensionName, Publisher, version