Azcopy is the command line utility release by Windows Azure Storage team to help move the file from your own storage to the Microsoft Storage.
The latest release is 2.5 when this post is written. You can download it from here http://blogs.msdn.com/b/windowsazurestorage/archive/2014/08/08/azcopy-2-5-release.aspx
Use case: Migrate DATABASE to Azure
Instead using Wizard like http://www.sqlpanda.com/2014/10/sql-server-2014-cloud-enhancements-4.html . We can move the database backup file to Azure and restore it into SQL Server instance host in the Azure VM.