In the past, it has been a bit of a pain to move large amounts of data from on-premises to the cloud. As of the end of October Windows Azure released a new service to make the transition a lot smoother. Now you can securely ship hard disk drives to the Windows Azure data centers. Once they receive your drive(s) they will transfer the data to your storage account. You can even use BitLocker to encrypt your drives before sending them to a data center.
If you’re interested in finding out more take a look at the announcement and the getting started guide.