I’m investigating the Azure Service Bus Event Hub using the getting started tutorial and I didn’t seem to be able to receive any data. It turns out that our firewall was blocking an outbound port. After some investigation I found a post which hinted at a port for the on premise service bus. Our IT guys kindly enabled the outbound port 5671 and I now can receive data from the event hub.
For completeness the following site has details of the other firewall ports required for service bus : http://msdn.microsoft.com/en-us/library/ee732535.aspx