Yes, it's possible:
https://web.archive.org/web/20161205162932/https://www.opsgility.com/blog/windows-azure-powershell-reference-guide/uploading-and-downloading-vhds-to-windows-azure/
http://social.msdn.microsoft.com/Forums/windowsazure/en-us/ea159bb9-fd67-4248-b6f4-1b3904a63455/how-to-download-a-vhd-from-windows-azure-to-my-local-pc-?forum=WAVirtualMachinesforWindows
Just one information: you'll pay for each MB that you'll download.