The Goal

Migrate a TFS repository to git, without losing the history.

The Solution

I found Git-Tf extension pretty useful. I've already migrated two projects and third is on the way.

It is a simple as installing the extension and typing:

git tf clone <tfs server/collection> <tfs project>  

There is also a stackoverflow question, which explains that: http://stackoverflow.com/questions/18814465/migrating-a-tfs-repository-to-git

Warning

It may take some time, depending on the size of the project. The last migration took me around 10 hours. So be patient.