Some azaleas are just naturally more 'leggy' than others; but more often it happens they are in a bit too much shade and stretch out, trying to reach sun.

In the hopes that neither of those scenarios is your problem, try another session of pruning. Right now, go ahead and prune out any branch that is rubbing on another, and cut back any branch that is truly dead (a living branch flexes a bit when gently bent, dead ones usually snap off). Next session should be just after the blossoms get really ratty-looking. And don't worry about the forming buds: most azaleas spend about a month gradually making tiny new buds within the new cluster of leaves. Stand back and eye-ball the plant, trying to visualize the more rounded shape you want... I have trouble with this, so I use ties (from bread wrappers), twisting them on each branch where I think the cut should be, and then standing back to eye-ball again (and again, usually); neighbor uses cloth strips which actually are easier to see. Once the ties look like the general size and shape I hope for, I cut about 4" closer to the plant's center than the tie actually is. This is because over the following weeks the azalea is going to grow a cluster of small branchlets from that cut end. Azaleas are real nice about doing this :) but keep an eye on them for a few weeks after pruning: if you do find a cut end that's making a single instead of a cluster, try pinching off the green tip; that's usually enough to make the following new growth a cluster.

Bushes that are basically a nice shape, but loaded with dead cluster-twigs need an in-depth pruning - expect to prune about 20% of the branches all the way back to a main trunk. I've found those masses of dead clusters seem to occur on bushes that have been "surface-pruned" often to maintain a particular shape or size [that's a nice way of saying somebody used hedge clippers instead of pruners]; the plants need to be opened up a bit both to let air and light in, and because the plant had so many cut ends that it made more tip-clusters than it could maintain over the winter, resulting in a sparse bloom. Try to remove some of the branches which have clusters leaning into any other branch's clusters - at least one branch [of every bunch] will need to be pruned back to the main stem. The finished effect doesn't change the plant's shape by much, but it does make the overall effect more open. Surprisingly, next year's blooms will likely be very showy!

I have never managed to prune so severely that an azalea died (ah, yeah, I've tried... got an orangey one I really detest so I've practiced doing all sorts of "wrong" things to it); so you can expect that an established azalea is one plant that is difficult to over-prune -- although if you want to shorten the overall height and/or width by more than a third, there is a good chance some of the individual branches will die back a lot. No sweat, just prune them off next spring (sometimes they look dead in late summer but come to life the following spring, so give 'em a chance). Next year, you can refine your prunings... if the plant is a hearty grower, you may want to cut back 6" or a foot closer to center than looks good when eye-balled; or if there are some branches which act determined to be leggy, you can lop a couple off about a foot above ground-level. You can also divide the pruning sessions over about a month after bloom -- this is handy when you actually want to a very severe pruning (the rule of thumb is no more than 1/4 taken off at one time) because you can take a 1/4 off right after blossom-drop and a month later (those cut ends will have little leaves) take another 1/4 off! If you do something that drastic, don't forget to take good care of the remains, being sure to water often during the summer and feed with a mild azalea fertilizer.

The final resort for plants that are really ugly, and not too shaded, and you aren't going to get too upset if they die -- is to cut the entire plant back to about a foot above ground level. Like a normal pruning, some/most cut ends will sprout clusters; unlike a normal pruning, some/many branches may die completely and there is a very real risk of losing the whole plant (or so I'm told, I haven't had it happen to any of my azaleas). The good part of taking the risk is that it's easier to keep the plant bushy as it recovers/grows, the bad part is that there is no way to tell just which branches will die back, so there is a potential for having a lop-sided plant for a couple years.

wow! I didn't mean to be so long-worded; it's just easier to do the pruning than it is to tell how to do pruning!