Features:

• Download almost anything from your wall:
  • Posts
  • Multimedia attachments
  • Comments
  • Comment attachments
  • Some extra raw info for your history
• Download audio tracks
  • Correct fime naming
  • Text stored also (if available)
  • Sort by playlists (as subfolders)
• Download docs
  • Auto-change filename if exists
  • Write correct extension
• TODO: Downloading video
• TODO Downloading notes

Known limitations, bugs and other considerations:

• Unable to download videos (Anyone need this?)
• Unable to download note comments (Maybe an unneeded feature?)
• Tested on a particular user, audio tested on a group
• Can't grant access by itself, so you need to enter auth token manually (see below)
• If wall, documents or audio list has been modified during work, it will cause unpredictable things.
• Sometimes you need to solve CAPTCHA (interactively)

You need Python 2.7 only for this to work. Should work under different OSes, not tested.
For all available list of arguments see --help output. Essential options described below:

• -i / --id User ID or group ID to dump. Group ID should be prefixed with -, e.x. -123456
• -a / --app_id Application ID, see below.
• -m / --mode Working mode. Supported modes are wall, docs and audio, you may specify all at the same time. Script will download your wall, docs or audio tracks, respectively.

1. Clone this repo

2. Register your own vk app here to get Application ID. Be sure to select standalone application type.

3. Write down your Application ID (ex. 1234567).

4. Find your profile ID here near the bottom of the page. For example, 1.

5. What do you want to dump? audio, wall or docs?

6. Now specify everything to the script:

    main.py --app_id 1234567 --id 1 --mode wall audio docs
   

7. Script will ask you to go to a given URL, so, do it :)

8. Give access for this application to your profile.

9. You will be redirected to a white page with text about security.

10. Copy URL of this page. Yeah, I know, VK tells you not to do that for security reasons. But this application is your just registered app, and this script is open-source, so go and read sources if you don't trust me..

11. Paste URL int script, it is waiting for you!

12. Enjoy downloading process. This will take a lot of time, though.

You may set limits of posts and audio tracks to download, change directory to store data, etc. See --help output.

According to working mode and wall posts' contents, corresponding dirs and files will be created. Everything will be stored in specified directory, say, some_dir:

  some_dir                                     (base directory)
  +---- 9876543                                (user id)
        +---- docs                             (documents stored here)
        |     +---- cat.gif
        |     +---- my_archive.zip
        |     +---- ...
        +---- audio                            (audio tracks ant dexts)
        |     +---- Artist1 - Track.mp3
        |     +---- Artist2 - Track.mp3
        |     +---- Artist2 - Track.mp3.txt    (text for that song)
		|     +---- Album1                     (audio album name)
        |     |     +---- Artist - track.mp3   (tracks in that album)
        |     +---- ...
        +---- post_1234                        (wall post id)
        |     +---- text.html                  (post text)
        |     +---- image.jpg                  (any multimedia attachments)
        |     +---- music.mp3                  
        |     +---- ...
        |     +---- media_urls.txt             (list of attachments' urls)
        |     +---- comments.json              (raw comments, reply from vk server)
        |     +---- raw.json                   (raw post, reply from vk server)
        |     +---- note_1234                  (note, if attached to post)
        |     |     +---- text.html            (note text)
        |     |     +---- raw.json             (raw note, reply from vk server)
        |     +---- comments                   (comments dir)
        |           +---- text.html            (all comments' text)
        |           +---- raw.json             (raw comments, reply from vk server)
        |           +---- image.jpg            (any multimedia attachments)
        |           +---- music.mp3                  
        |           +---- ...
        |           +---- media_urls.txt       (list of attachments' urls)
        +---- post_1235
        |     +---- ...
        +---- ...

Any bug reports, pul requests appreciated. Open an issue here or PM me

Me :)
http://habrahabr.ru/post/143972/ (call_api function)
http://stackoverflow.com/questions/22676/how-do-i-download-a-file-over-http-using-python (fancy progressbar)
Pavel Durov for great social network and its buggy API :)