The Shrine of Azura is devoted to the following of the Daedric Prince Azura. It is located to the south of Winterhold, and one priestess, Aranea Ienith, remains at the shrine. Traveling to the shrine by foot can be dangerous, as there is frequently a dragon in the vicinity.
When asked about its history, Aranea claims that several Dunmer faithful to Azura fled Morrowind, receiving visions of the coming eruption of Red Mountain. They took up residence near Winterhold and built the Shrine in homage to Azura.
The only current inhabitant of Azura's Shrine is Aranea Ienith, she has her tent and her belongings on the side of the shrine. Upon returning Azura's Star after completing "The Black Star", Aranea Ienith becomes a potential follower. She is a mage, skilled in Destruction, Restoration, Illusion, and Conjuration magic.
Many years ago, Malyn Varen was exiled from the College of Winterhold for pursuing questionable research with Soul Gems. Malyn was trying to find a way to prolong his spirit, and he believed that storing his soul inside the Daedric Artifact, Azura's Star, would prevent him from dying.