Its still in preview but its a big deal. Very useful scenario for Power BI, Machine Learning techniques etc. Please see the link below for more details
https://powerapps.microsoft.com/en-us/blog/exporting-cds-data-to-azure-data-lake-preview/
Demo: https://powerusers.microsoft.com/t5/Microsoft-Business-Applications/Common-Data-Service-Seamlessly-enable-CDS-entities-for-analytics/m-p/299029
https://powerapps.microsoft.com/en-us/blog/exporting-cds-data-to-azure-data-lake-preview/
Demo: https://powerusers.microsoft.com/t5/Microsoft-Business-Applications/Common-Data-Service-Seamlessly-enable-CDS-entities-for-analytics/m-p/299029