Here’s the un-bit.lyfied version to download your last 3,200 tweets in one shot on a machine with curl installed.
curl -O -u username:password "https://twitter.com/statuses/user_timeline.xml?count=100&page=[1-32]"
Replace username and password as necessary. If your password has a special character like an exclamation point or an ampersand, you’ll have to put a backslash () before it.
Twitter only allows you to retrieve your last 3,200 tweets, but I’ve got more archived over at TweetStats - just email or call with contact info from the sidebar.