Facebook official service to Download your Complete Profile Data:-
When you Hit on this option to Download the Facebook profile data you will presented with a new page where Facebook will show you what data will be included and what data will not include in the archive. ( I strongly recommend you to go through the information on this page before downloading the profile data) You can get the complete details from here on what data will be included in your archive.
After reading the information you can request Facebook to create a new archive and Mail you the download link. Facebook had made two types of archives available 1) Normal Archive (By default this will be selected when you hit Start My Archive) and 2) Expand Archive ( which you have to select manually from the small link "expand archive")
The first type of the archive will include only the basic data of your Facebook profile where are the "expanded archive" will have some extra information about your Facebook profile data.
Note that you must protect the archive as this will contain sensitive information about your Facebook profile.