Azure Application Gateway has many features that would help you to use it in more advanced scenarios. The following are some of the most common features of Azure Application Gateway:

• HTTP/HTTPS load balancing: Azure Application Gateway provides a layer 7 round-robin load balancing for HTTP/HTTPS incoming traffic.
• SSL overhead offloading: The web servers do not have to decrypt the HTTPS connection when using Azure Application Gateway, as it decrypts the traffic when it is received and sends the traffic unencrypted. As a result, the web servers get a better performance.
• WAF: Azure Application Gateway can be used as a web application firewall in order to protect Azure Web Apps, such as session hijacks and SQL injection.
• End-to-end SSL encryption: Decrypting the traffic at the application gateway does not mean that the traffic can be sent to the web servers unencrypted. You can re-encrypt the traffic from the application gateway to the backend server and from the backend server to the client using routing rules.
• Cookie-based session affinity: You can stick a user session to the same backend server using this feature, as application gateway can use the gateway-managed cookies to direct all the traffic coming from the same user session to the same backend server. This feature is highly beneficial in cases, such as web mail servers and shopping carts apps.
• WebSocket support: You might have web applications that support real-time functioning in both directions between the client and the web server.
• Multi-site routing: You can use single application gateway capabilities for multiple websites up to 20 websites.
• Health monitoring: You can monitor the backend servers using health probes to check the status of the servers/applications.
• URL-based content routing: Azure Application Gateway can logically distribute the traffic between the backend servers according to incoming traffic based on the URL path.

In a nutshell, Azure Application Gateway is built on a dedicated virtual appliance that is fully managed by Microsoft providing an application delivery controller as a service.