Video embedded below.
"we've built an easy way to quickly download to your computer everything you've ever posted on Facebook and all your correspondences with friends: your messages, Wall posts, photos, status updates and profile information.
If you want a copy of the information you've put on Facebook for any reason, you can click a link and easily get a copy of all of it in a single download. To protect your information, this feature is only available after confirming your password and answering appropriate security questions. We'll begin rolling out this feature to people later today, and you'll find it under your account settings."