msdeploy.exe
Caveat: msdeploy.exe
fails to create the destination database on its own, so you need to create it manually first.
Run msdeploy.exe
like this:
"c:\Program Files\IIS\Microsoft Web Deploy V3\msdeploy.exe" -verb:sync -dest:dbDacFx="destination_DB_connection_string",dropDestinationDatabase=true -source:dbDacFx="azure_DB_connection_string",includeData=true -verbose
SqlPackage.exe
Export the azure DB to a bacpac package.
"c:\Program Files (x86)\Microsoft SQL Server\110\DAC\bin\SqlPackage.exe" /a:Export /ssn:"azure_db_server" /sdn:"azure_db_name" /su:"user_name" /sp:"password" /tf:"file.bacpac"
Import the package to a local DB.
"c:\Program Files (x86)\Microsoft SQL Server\110\DAC\bin\SqlPackage.exe" /a:Import /SourceFile:"file.bacpac" /TargetServerName:".\SQLEXPRESS" /TargetDatabaseName:CopyOfAzureDb