Does anyone have any knowledge of how this compares to Azure's offering? I have used Azure Event Hubs for a pretty simple task, and liked it. Curious if AWS IoT has anything Azure doesn't.

Event Hubs == AWS Kinesis

Neither of those have any built in rule functionality. You have to set up machines to pull messages and process them.

This offering is quite different in that it builds in declarative rule support for filtering/forwarding the data to other AWS offerings like DynamoDB, S3, Lambda, etc.

That said, you're still going to be writing a lot of code to turn it into a useful application or monitoring system.