After finding out Hive LLAP, I really want to use it.
I started Azure HDinsight cluster with LLAP enabled. However, it doesn't seem to work any better than normal Hive. I have data stored in Parquet files. I only see ORC files mentioned in LLAP related docs or talks.
Does it also support Parquet format?
Answering my own question.
We reached out to Azure support. Hive LLAP only works with ORC file format (as of 05.2017).
So with Parquet either we have to use Apache Impala for fast interactive queries (https://impala.incubator.apache.org) as alternative to LLAP or change the stored file format to ORC.
Update: This is currently work in progress and no longer be the case with the next release of HDP. As of HDP 3.0. LLAP will support caching for the Parquet file format. This update should flow into HDInsights shortly after the 3.0 release.