Take all your faithlessness with you
Have you become uncivilized so soon, Zuzu?
And you thought your sibling relationship had issues!
So far as I can tell, Zuko and Azula never liked each other; in fact, they pretty much can't stand each other from day one. Azula is clever, brilliant, talented, and manipulative, and her whole life revolves around political intrigue and playing people against each other. Zuko cares more about family, relationships, and honor, which means he totally doesn't get the reasoning behind Azula's machinations. Even his stunted version of doing the right thing is light years ahead of Azula's moral capacity.
My guess would be that Azula always wanted to be next in line to be Firelord and resented that Zuko was next up, due to order of birth. She also mentions being jealous of Zuko's and Ursa's relationship (S03E05, "The Beach"), though that's never explored very fully. But Azula is obviously Ozai's favorite, and she milks that for all it's worth (Zuko tells a comatose Aang that Ozai's always said Azula was born lucky, while Zuko was lucky to be born (S01E20, "The Siege of the North, Part 2")).
So there's all sorts of jealousy and mistrust there, which makes some of Zuko's actions in relation to Azula a little confusing. He knows he can't trust her, but he often does; he knows she betrays anyone and everyone, yet he keeps allying himself with her. I mean, this is the girl who delighted in telling her older brother that their dad was going to kill him (S02E07, "Zuko Alone"). No one hurts Zuko quite as often or quite as well as Azula. And yet Zuko still acts like he trusts her, even though he says he doesn't. Boy has some serious denial issues when it comes to his family.
Though Azula is a better bender and quite possibly a lot smarter than her brother, she doesn't have the solid relationships he has, and in the end, this is what does her in. While Mai and Ty Lee ultimately abandon Azula, Zuko is reinforced by Iroh's extreme devotion and his growing friendships with Team Avatar. By the time Sozin's Comet hits and Zuko and Katara face off with Azula, Zuko can tell she's losing it, and he takes her up on her demand for an agni kai, hoping this will keep anyone else from getting hurt. Both he and Katara nearly get killed in the process, but together they're able to take Azula down.
So what happens to Azula in the end? Zuko and Katara do defeat her, but don't kill her, so presumably she's locked up somewhere in the Fire Nation dungeons along with Ozai, waiting to cause more trouble....
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