I have the option to “download your information”. I went to “account settings” and then “download your information” is down near the bottom, right above “delete your account”. From my understanding it will download my pictures, videos, wall posts, and personal information that I entered into a zip file. In order to get to the link to actually do the download, I had to click on “learn more” (which was to the right of “download your information”) first.

I’m in the US and my language is English.

Facebook often seems to roll out changes in pieces. Whenever they change the site, a whole bunch of my contacts will complain about it and I won’t have even been aware of it yet. Sometimes it takes weeks for them to activate the change for everyone. So maybe that’s the case this time, too.

Edit: That said, I just checked and I do have that option. US/English.