Facebook allows you to do this. There is no need to give a third party application access all of your information.

Click "Account Settings", and then "Download Your Information". Voila. You'll get an email within a few minutes.

https://www.facebook.com/help/?topic=download

To be fair, it appears that this project predates Facebook's launch of the download feature by a few months.

I work for FB, but not on this feature.