Facebook announces new changes today during their event. Now, you can download your stuff in one zip file. You have a dashboard for applications that makes arrangement of applications easier. You will create Facebook Groups where you can group your friends or perform group chat.
It is still very new. So, I guess the videos would be better to explain. BTW, as of this writing, the Application Dashboard and Download is still not yet activated on my account.
Download Your Information From Facebook
New Dashboard for Application