MASM 64Bits (ML64.EXE) seems to support AVX instruction set.
From MS vcblog, it is said:
Support for AVX in Intel and AMD
processors: Intel AVX (Intel
Advanced Vector Extensions) is a 256
bit instruction set extension to SSE
and is designed for applications that
are floating point intensive [...].
In
VS2010 release, all AVX features and
instructions are fully supported via
intrinsic and /arch:AVX. Many
optimizations have been added to
improve the code quality of AVX code
generation which will be described
with more details in an upcoming blog
post. In addition to AVX support in
the compiler, the Microsoft Macro
Assembler (MASM) in VS2010 also
supports the Intel AVX instruction set
for x86 and x64.
EDIT:
YASM and NASM seems to support Intel AVX too, according this page:
http://software.intel.com/en-us/articles/intel-software-development-emulator/