They also enter the tournament with the most compelling rivalry in women's tennis.
Williams holds a 12-3 career edge over Azarenka. However, Azarenka has won two of the last three.
Sunday, Azarenka defeated Williams 2-6, 6-2, 7-6 (6) in Cincinnati. The win was eerily similar to Williams' 6-2, 2-6, 7-5 win over Azarenka in the final of the 2012 U.S. Open. That match became an instant classic.
Their clash in Cincy was the highlight of a tournament in which too many Top 20 players served up way too many double faults.
In the semifinals against Williams, Li Na literally double-faulted the match away. On the final point of the match, she hit a second serve squarely in the wrong service box. It was so stunningly bad the crowd gasped.
In the first round, Sloane Stephens and Sharapova combined for 113 unforced errors in one match. Stephens won, but those who paid to watch were the losers.
Miserable matches like those are why women's tennis desperately needs this Williams-Azarenka rivalry.
The play among the women in Cincinnati was so bad that commentators Mary Joe Fernandez and Pam Shriver, both former WTA players, complained about the dismal display.
That was until the Williams-Azarenka match. Fernandez and Shriver turned from lamenting the lame state of women's tennis to praising its top two players.
Williams and Azarenka certainly didn't play error-free tennis. Both suffered lapses in concentration.
But overall, these two put on an ATP style showdown.
Unlike the WTA, the ATP is blessed with a round-robin of rivalries. Even a slumping Roger Federer delivered a decent performance in a defeat at the hands of Rafael Nadal. Matches between Nadal and Novak Djokovic are always entertaining, as are those between Andy Murray and Djokovic.
Of course, there are plenty of competitive matches in the WTA. But no other matchup is as anticipated by fans as Williams-Azarenka.
Alas, a real rivalry.
More than just powerful personalities, Williams and Azarenka provide fans with something lacking on the women's tour: a wow factor. They give us superior shot selection, gamesmanship and athleticism. They charge the net and smash winners.
Their matches rise to the level we expect, but seldom get, from contests between two Top Five players.
This revved up rivalry comes at a time when some ATP players are questioning whether women deserve equal prize money.
Anyone who watches Grand Slam tournaments that host the ATP and WTA has seen the many empty seats visible during the women's matches.
This week, New Haven Open tournament officials closed the upper decks of the main arena to create what they called a "more intimate atmosphere" for the WTA only event. With attendance down by the thousands, they grew tired of explaining the half-filled stadium.
Doubt we'll see empty seats at future Williams-Azarenka matches.
How wonderful it is to see a player consistently challenge Williams. How exciting to go into the U.S. Open with a Williams win over an opponent in doubt instead of a foregone conclusion.
That's what you want in a rivalry, a competitive and compelling contest.
What makes this rivalry even more enjoyable is the mutual respect between Williams and Azarenka.
We don't see the loathing and bickering between them that we see between Sharapova and Williams; Sharapova and Azarenka; Azarenka and Agnieszka Radwanska and Radwanksa and Sharapova.
During the Cincy final Williams could be seen applauding an Azarenka winner. Azarenka said playing Williams has made her a better player.
After her defeat, Williams told Reuters why she likes the rivalry:
"We go against each other really tough, so I think, yeah, it's a good rivalry...I'm number one, she's number two so we have that rivalry which consists of meeting in the final, which makes it even more so exciting. I personally was thinking it is a good rivalry and it's good to have someone out there that can play hard and fight so tough."
Their battles will never reach the level of Federer versus Nadal. Williams is at the end of her career. Azarenka, 24, has many more years ahead of her.
Let's just hope we see more of these two head-to-head. Their rivalry could spark a resurgence of excellence in women's tennis.