There is unfortunately no in house option from Reddit itself, nor are there any 3rd party apps that allow this.
However, using the Reddit API, you could use:
or to return in XML format:
Of course you can fetch just your comments or your submitted links:
For message threads this would be:
/message/where[ .json | .xml ]
Full documentation can be found here: http://www.reddit.com/dev/api#GET_user_%7Busername%7D_about.json