I've written before about the most excellent tool Cloud Storage Studio by Cerebrata. I use exclusively for uploading blobs to Windows Azure as well as downloading my IIS log files. I just hit an issue as far as IIS logs which (fortunately) easily resolved. By default, Cloud Storage Studio does not preseve path settings when downloading files.  This presents a problem if you have multiple instances of your application on Windows Azure, because, when you go to download the log files, there will be duplicate log file names (aka  "u_ex09121403.log") from your different instances. 

The fix is easy. Go into options and see if the "Preserve directory path information in blob name when downloading files & directories" setting checked or not? You can check this setting either under "Configuration Settings --> Container/Blob Setting" or under "Download Window --> Download Settings" By default it is unchecked. If it is checked, then Cloud Storage Studio will preserve the folder hierarchy. You may need to restart the app after you set it as it didn't pick up my configuration changes after I set it. (They need to implement INotifyPropertyChanged!)