I don't know how many people are aware of this possibility on Facebook, but I just 'discovered' it few days back!
Let's get straight to how to do it.
Just follow this easy structure:
Loggin > go to Account > Account setting > under the button Settings go down to find "Download Your Informations" > click on Learn More and then you'll be guide to continue it. It will ask your password to confirm your identity! Make sure you didn't forget it!
As it reminds you as well, it may takes time!! I mean really long (for me it was like 30min or around), maybe the older you're having account, the more it takes time to gather all your posts, videos, pictures and comments that people left on each!!
It's pretty cool, right?
Then you can have them in a zip file.