One feature strangely absent from Facebook has always been the ability to download your pictures, videos, messages, and other information to your hard drive. Now, with a few clicks, your updates can be easily saved.
All you need to do is head to Account, Account Settings, then to Download Your Information. From there, you can download a zip file containing all your profile information, including your photos, wall posts, messages, videos, friend lists, and other content. If you unzip the file, you can actually view a simple HTML page of your profile, with simple links to all of these things. It doesn't look like there's currently any way to re-import that information back to Facebook.