Once you get the Anniversary Update for Windows 10 you will be able to run Bash on Windows provided by Ubuntu. Very excited about this! It will make managing Linux machines that much easier.
Install NPM -
sudo apt-get install -y nodejs
Install azure-cli -
npm install -g azure-cli
Create symbolic link between nodejs and node -
sudo ln -s /usr/bin/nodejs /usr/bin/node
Note: The reason for step 3 is that Ubuntu installs nodejs rather than node, since the azure-cli is programmed to use node, you will get an error without this link
And you are done. After running
azure you should see this...