Event Hubs are more-or-less a "Pub-Sub" mechanism. You can send events to it and it will broadcast those events to whoever is listening.
Azure Table storage, SQL server and CosmosDB stores data... They each store it in a very different ways, but in the end, their job is to store the data. Each one of these technologies have "change-feed" notifications (notify a listener when data changes in a document or row), but it's not nearly as reliable as a technology that is built to produce events in real-time.
Event Hubs can store data, but for a very short amount of time... For example, you can set the TTL on EH data to 3 days. That means a message will live in there for 3 days allowing subscribers to grab that message.
You can wire Event Hubs up to other services, for example: Stream Analytics... that can analyze the data and do something with it... for example: send it to a storage mechanism such as a Data Lake.
So of all the technologies you asked about, you would probably want an Event Hub to source events.
I use them in my architectures... I have a hub that processes millions of events a day from thousands of clients with no issues in latency or downtime. They are amazing in my opinion.