It would be great if data could be compressed using GZip while exporting to Blob Storage (either by default, or as an option). It should compress quite well (saving on storage and transfer costs), and if the content-encoding on the blob is then set correctly most tools (and browsers) will be able to decompress the blobs on-the-fly when downloading.

Also, setting the content-type to "application/x-json-stream" may help integration with other tools.