There are many reasons why you may want to download everything you've ever posted or shared on Facebook. Maybe you don't trust Facebook, maybe you want to move to another social network, or maybe you just want to make a backup of everything, just in case. Whatever your motivation, there are two ways to download everything you've ever posted or shared on world's largest social network.
The first is the official way (supported by Facebook) by using the Download Your Information tool. Facebook does the hard work for you, but it requires that you wait a little for the compilation of everything to happen. You'll need to make a few clicks on Facebook, wait till you get an e-mail telling you your archive is ready, and then download it. Choose this way if you want everything Facebook is willing to give you (note that users have reported this method sometimes doesn't work because the download generation fails).
The second is the unofficial way (not supported by Facebook) by using the Activity Log, which requires that you have the new Timeline profile. You and your browser have to do the hard work. You can download everything (choose All in the Activity Log) or any of the following categories of content: Your Posts, Posts by Others, Posts with Location, Comments, Photos, Video, Notes, Questions, Events, Groups, Likes, Friends, Subscriptions, Info Updates, Games, Music, News, and Video. Choose this way if you want to pick and choose specific types of data (note that Facebook may one day change the Activity Log so that this is no longer possible).