Last month Glenn Block announced the new release of azure-cli (version 0.6.9). This release adds lots of new features to the CLI like managing Mobile Services, custom Web Site deployments …In order to use the azure-cli you'll need Node.js on your machine. And I guess this is the reason why people with a Windows machine prefer using Windows Azure PowerShell over the azure-cli. The setup experience changed drastically in this new release and this might make it easier for you to adopt the azure-cli.
Here is a blog that covers this topic.
http://fabriccontroller.net/blog/posts/using-the-windows-azure-cli-on-windows-and-from-within-visual-studio/