Besides export\import .bacpac described by other users, there is another way to migrate a database, which in many cases may be preferable.
You can create a .sql script of Azure database and then run it in SQL Server
Generate t-sql script via Sql Server Managment Studio
right click on database -> Generate script
The Script Wizard will open.
In the Set Scripting Options section, click the Advanced. Specify the Types of data for script option to Schema and Data. Pay attention to the options Script for server version and Script for database engine type, here you can choose which database to create the script for.
Specify where the script should be saved and click Finish
To import a .sql file, simply open it in Sql Server Managment Studio and press F5. If the .sql file is very large then you can use the sqlcmd utility.
sqlcmd -S <server> -i C:\<your file here>.sql
Note, when creating a .sql script or Export data tier application, the data should not be changed in the database, since these methods do not provide transactional consistency of the exported data. If you are exporting a live database, then create a copy of it temporarily for export.
CREATE DATABASE AdventureWorksCopy
AS COPY OF AdventureWorks