GoDaddy doesn't own your domains at all, and they'll be more than happy to help you transfer away to a competitor.
It's simple! Just find the place in the GoDaddy UI to unlock your domains, then the other place to request the authorization code required to transfer the domains (you need to request this in an email per domain), then disable private registration if you have that enabled (but don't change your personal info, or you'll have to wait another 2 months), then wait for the correct registration info to propagate (wait a day to be safe, because if you do this wrong it really gets tricky), then start the transfer process at the competing registrar, and follow similarly byzantine steps with them.
At some point, GoDaddy will send you an email telling you that you can confirm the transfer, but they don't mention how. Instead, they give you the steps how to cancel the transfer. Follow those steps, if you can (make sure to click on the correct "My account" link or you'll never find the right forms) and just change the last step to say "confirm" rather than "cancel".
A few days will pass, and then your domain will be transferred!
Now, was that so hard?