You can use the SELECT INTO statement to export formatted data to a file.

Data Export with an SQL Query

The following query exports data into a file formatted in comma-separated values (CSV):

SELECT Id, FullName INTO [csv://Lead.txt] FROM [Lead] WHERE FirstName = 'Bartholomew'

You can specify other formats in the file URI. The possible delimiters are tab, semicolon, and comma with the default being a comma. The following example exports tab-separated values:

SELECT Id, FullName INTO [csv://Lead.txt;delimiter=tab] FROM [Lead] WHERE FirstName = 'Bartholomew'

C#

String connectionString = "User=myuseraccount;Password=mypassword;URL=http://myserver/myOrgRoot;";

using (ODataConnection connection = new ODataConnection(connectionString)) {
  ODataCommand cmd = new ODataCommand("SELECT Id, FullName INTO [csv://Lead.txt] FROM [Lead] WHERE FirstName = 'Bartholomew' ", connection);
  int rowsAffected = cmd.ExecuteNonQuery();
} 

VB.NET

Dim connectionString As [String] = "User=myuseraccount;Password=mypassword;URL=http://myserver/myOrgRoot;" 

Using connection As New ODataConnection(connectionString)
  Dim cmd As New ODataCommand("SELECT Id, FullName INTO [csv://Lead.txt] FROM [Lead] WHERE FirstName = 'Bartholomew'", connection)
  Dim rowsAffected As Integer = cmd.ExecuteNonQuery()
End Using

You can specify other file formats in the URI. The following example exports tab-separated values:

C#

String connectionString = "User=myuseraccount;Password=mypassword;URL=http://myserver/myOrgRoot;";

using (ODataConnection connection = new ODataConnection(connectionString)) {
  ODataCommand cmd = new ODataCommand("SELECT * INTO [Lead] IN [csv://filename=c:/Lead.csv;delimiter=tab] FROM [Lead] WHERE FirstName <> 'Bartholomew'", connection);
  int rowsAffected = cmd.ExecuteNonQuery();
} 

VB.NET

Dim connectionString As [String] = "User=myuseraccount;Password=mypassword;URL=http://myserver/myOrgRoot;" 

Using connection As New ODataConnection(connectionString)
  Dim cmd As New ODataCommand("SELECT * INTO [Lead] IN [csv://filename=c:/Lead.csv;delimiter=tab] FROM [Lead] WHERE FirstName <> 'Bartholomew'", connection)
  Dim rowsAffected As Integer = cmd.ExecuteNonQuery()
End Using