Last month a friend of mine contacted me from France, asking "what the hell is going on in Azerbaijan?!". Apparently, she saw the notification that the Embassy of the United States has posted on its webpage, which warned about a terroristic threat and advised its citizens to "remain vigilant, particularly in public places associated with the Western community." A reminder was posted again on February 11th. Some media sources reported the same alerts being posted on the UK embassy's webpage, but I couldn't find it anywhere. On February 14th news about the temporary closure of the Israeli embassy for "technical reasons" broke. The next day it was reported the embassy was back at work, but again, some media sources denied this information.
Today, around 18.00 one of the central streets (BulBul Avenue) was shut down because of an information about a bomb planted. The pedestrians were asked not to cross the street, the traffic was forbidden. According to RFE/RL Baku, the situation was provoked by an anonymous call about an unknown box left on the street (which is more than a common thing to see in Azerbaijan, but still). The police closed the subway and kept the box surrounded for 45 minutes. The paramedics were also waiting at the scene. It turned out the suspicious object was just an empty shoe box.
The last terrorist attack took place in Azerbaijan in April 30, 2009 in the State Oil Academy. The officials report about 13 people killed and 10 injured. The terrorist, a Georgian citizen of Azerbaijani descent, reportedly committed suicide at the scene.