Before you can take your autosomal data anywhere, you have to download it from the company who has it. Choose your testing company to get started (23andMe coming soon!).
Once you have your data, you can take it to several different destinations.
First of all, if you have been tested at AncestryDNA, you can transfer into Family Tree DNA for $39. Here's how.
Test results from any of the three companies can be transferred into Gedmatch, a free online resource for genetic genealogists.