What is the best way to send data from Event Hubs to Data Lake Store?
I am assuming you want to ingest data from EventHubs to Data Lake Store on a regular basis. Like Nava said, you can use Azure Stream Analytics to get data from EventHub into Azure Storage Blobs. Thereafter you can use Azure Data Factory (ADF) to copy data on a scheduled basis from Blobs to Azure Data Lake Store. More details on using ADF are available here: https://azure.microsoft.com/en-us/documentation/articles/data-factory-azure-datalake-connector/. Hope this helps.
== March 17, 2016 update.
Support for Azure Data Lake Store as an output for Azure Stream Analytics is now available. https://blogs.msdn.microsoft.com/streamanalytics/2016/03/14/integration-with-azure-data-lake-store/ . This will be the best option for your scenario.
Sachin Sheth
Program Manager, Azure Data Lake
In addition to Nava's reply: you can query data in a Windows Azure Blob Storage container with ADLA/U-SQL as well. Or you can use the Blob Store to ADL Storage copy service (see https://azure.microsoft.com/en-us/documentation/articles/data-lake-store-copy-data-azure-storage-blob/).
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