On Azure, I am currently using my \"3-month Free Trial\" subscription, and just recently I got access to a \"Windows Azure MSDN - Visual Studio Ultimate\" subscription.
I did do this once. I had to contact their billing team and after a couple of days of back and forth between them it was taking too long so I just did it manually, redeploying the sites to the new subscription. This may not be possible if you have many sites. I did a backup and restore of the SQL Azure database.