Availability Zones are physically separate locations within a single Azure region. An Availability Zone might be just a single datacenter, or it might be made up of multiple. There is a high-performance network that connects all Availability Zones in a region. Microsoft says this network has a round-trip latency of less than 2ms. Note: at this time, not all Azure regions support Availability Zones. For the full list of regions that support Availability Zones, see this link.
When you deploy an Azure service into a region that supports Availability Zones, then it is up to you to decide which Availability Zone to place that service into. Some services are "zonal" services, meaning they will be pinned to a specific Availability Zone. IaaS services typically support zonal deployments like this. Some services are "zone-redundant" services, meaning they are spread across multiple Availability Zones. PaaS services typically support zone-redundant deployments like this. Note: not all Azure services even support Availability Zones. For the full list of Azure services, and what type of support they have for Availability Zones, see this link.
Physical vs. Logical
For Azure regions that support Availability Zones there will always be at least 3 "physical" zones. However, in some regions there could be more than 3 "physical" zones.
When it comes to an Azure Subscription, it will only have access to 3 "logical" Availability Zones. These "logical" zones, and the actual "physical" zones that they map to, are decided upon at the time you create a Subscription. In other words, when you create a new Subscription, then "logical" zone 1 is mapped to one of the "physical" zones, "logical" zone 2 is mapped to one of the remaining "physical" zones, and "logical" zone 3 is mapped to one of the remaining "physical" zones.
This process happens automatically. You can not pick which "physical" zones your Subscription will map to. Likewise, you can not change these mappings later. This also means that different Subscriptions can be mapped to different "physical" zones.
If you're curious, you can query the locations API to figure out which "logical" zones maps to which "physical" zones. Here is an example command for the Az CLI tool:
az rest --method get --uri '/subscriptions/{subscriptionId}/locations?api-version=2022-12-01' --query 'value'
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