The most difficult part is to select all your files: you need to go to the "All items" section, scroll down to the bottom of the documents list, click on the checkbox button from the toolbar and then on "select all visible". Google Docs uses "infinite scrolling", but it's not smart enough to select all the documents from a view.
After selecting all your files (or only some of them), right-click and choose "export". A dialog lets you choose the download format for each kind of file: Microsoft Office formats, OpenOffice formats, PDF or some other formats.
Click on "continue" and Google starts to compress your files and create an archive. If you have a lot of documents, Google can send you an email when the files are zipped.
