I have seen few examples where a file is transferred to server side and then uploaded to Azure Blob Storage.
But I have files with size in few GBs.
Is there a way I
Updating my answer, now that CORS is supported in Windows Azure Storage and the OP has not accepted any answer :).
Yes, it is possible to upload large files directly from your browser to Windows Azure Storage. You may find these steps useful:
First create a Shared Access Signature URL (SAS)
with at least Write
permission on the blob container in which you wish to upload the files. Since you're uploading large files, I would recommend keeping SAS expiry time to be long enough.
Next enable CORS on your storage account. If you wish to do it programmatically, you may find this post useful: http://gauravmantri.com/2013/12/01/windows-azure-storage-and-cors-lets-have-some-fun/. If you want to use a tool, my company has released a Free
tool to do just that. You can read more about this tool and download from here: http://blog.cynapta.com/2013/12/cynapta-azure-cors-helper-free-tool-to-manage-cors-rules-for-windows-azure-blob-storage/.
I wrote a blog post some time back on uploading very large files into blob storage which you can read here: http://gauravmantri.com/2013/02/16/uploading-large-files-in-windows-azure-blob-storage-using-shared-access-signature-html-and-javascript/. Once CORS is enabled on your storage account, code mentioned in the blog should work just fine.