Auditing is a critical component of any security arhcitecture. You can log from now until doomsday, but unless you have a way to audit those log that enables you to gain insight from the information you’re collecting, you might as well not log anything at all.
When it comes to Azure Active Directory, there’s good news when it comes to audit logging. Check out the details over at the Azure Security Blog over at http://blogs.msdn.com/b/azuresecurity/archive/2015/06/11/azure-active-directory-audit-logs.aspx