Enabling multi-factor authentication for the Azure portal

Yes, you can.

For example here they say

Add protection for Azure administrator accounts

Multi-Factor Authentication adds a layer of security to your Azure administrator account at no additional cost. When turned on, you need to confirm your identity to spin up a virtual machine, manage storage, or use other Azure services.

Here is one of step-by-step guides.

UPD Feb 2019

Azure is constantly evolving, so many answers and related articles quickly become outdated.

As it is now, MFA is not a free option. I would start reading this Microsoft page for details, in particular:

Multi-Factor Authentication comes as part of the following offerings:

• Azure Active Directory Premium licenses
  • Azure MFA Service (Cloud)
  • Azure MFA Server
• Multi-Factor Authentication for Office 365
• Azure Active Directory Global Administrators