Q. I'm concerned about vendor lock in. Can I get data out of Azure easily?
A. Yes. Azure provides numerous tools to both upload and download data from Azure storage accounts including VHDs which are the virtual hard disk format for Azure VMs. Additionally Azure is built on Hyper-V which means a VHD created in Azure can easily be downloaded and run on-premises on a Hyper-V host without modification.
There is a charge for data egress which would apply to the scenario of downloading data from an Azure storage account to on-premises. Or, if you are using ExpressRoute then egress may be included. This cost can be calculated at http://azure.microsoft.com/en-us/pricing/calculator/?scenario=appservice but is generally very low. An alternative approach if you had a large amount of data to export from Azure would be to leverage the Azure Import/Export service. This allows data in Azure to be saved to hard disks that you ship to the Azure datacenter encrypted with BitLocker and once the data is written the hard disk is shipped back to you. Azure Import/Export is based on the number of storage devices used (which can each be up to 6 TB in size) and the price can be calculated at http://azure.microsoft.com/en-us/pricing/calculator/?scenario=data-management and more data found at https://azure.microsoft.com/en-us/documentation/articles/storage-import-export-service/.