You could always download any files you wanted from your Google Docs account, but recently Google implemented a much more convenient solution to backing up your files. Now you can compress all your Google Docs files in a single zip file and download to your hard drive.
The feature may not be available for all the users yet as Google is rolling it out slowly. To do so, simply select all your files and click on the More Actions button. This will allow you to select the export option from the list and export all the files as a zip file.