In Book II: Earth- Chapter 1: The Avatar State when Azula and Zuko are fighting on the ship she uses the high level lightning technique. However, the first time she uses it against him it plays the Firebending sound instead of the electrical sound played normally.
If you view any picture of Azula, you will see that she had a pin shaped like a flame in her hair, symbolizing fire nation royalty. When she and Zuko are fighting and she grabs Zuko's wrist and he looks up at her, when she gives an evil glance down, the flame pin disappears. In the next screen shot including Azula, however, it has returned.
When Aang is dreaming about the Avatar State in the season 2 opening. When he's fighting Zuko in the Avatar State. After he knocks himself off the ship he turns towards Zuko. The camera goes to Zuko's face and then returns to Aang, who is no longer in the Avatar State and still uses Waterbending in the same fashion.