There's actually several options here!
AWS
If you'd like a very quick setup but full featured environment for your org, use the AWS quickstart: https://aws.amazon.com/quickstart/architecture/databricks/
If you're solo exploring, you can use Databricks community edition which has a stripped down free edition but lets you put in a credit card for a little more flexibility: https://databricks.com/try-databricks
Azure
Databricks is a first party service so you can just deploy from your Azure portal in a couple clicks once logged in. It will guide you through the whole setup.
https://azure.microsoft.com/en-us/services/databricks/
