This is not a programming question.
Is there a tool out there that lets me explore my exported App Insights data and do advanced things like funnels and graphing different metrics? I'm thinking something like Mixpanel or other anayltics websites but that would work on my own data from Application Insights.
Azure Portal is too limited e.g. it doesn't have funnels and it's too slow.
You should create a continuous export of your app insights data. Just create or use an storage account, and then in azure portal goto Application Insights settings and configure the continuous export feature
Full article: Export telemetry from Application Insights
Once you have your data, you can process it in any way with the tool you want.