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:
http://www.reddit.com/user/karmanaut/overview.json
or to return in XML format:
http://www.reddit.com/user/karmanaut/overview.xml
Of course you can fetch just your comments or your submitted links:
→ /user/username/overview
→ /user/username/submitted
→ /user/username/comments
→ /user/username/liked
→ /user/username/disliked
→ /user/username/hidden
→ /user/username/saved
→ /user/username/gilded
For message threads this would be:
/message/where[ .json | .xml ]
→ /message/inbox
→ /message/unread
→ /message/sent
E.g. http://www.reddit.com/message/inbox.json
Full documentation can be found here: http://www.reddit.com/dev/api#GET_user_%7Busername%7D_about.json