Your data is yours, and the ability to leave is what makes adopting any platform a reversible decision.
Full organization export
Admin, Data Protection offers a full export of your organization's data. It produces structured files covering the records across every module you use.
Per-module exports
Most list views export to CSV directly, which is the faster path when you need one dataset rather than everything.
The API
For continuous or automated extraction, the public API provides org-scoped reads across the main resources with pagination and an updated_since filter, which is what you want for incremental syncs into a warehouse.
What to keep
If you are evaluating or migrating, take a full export before any major change, and keep it somewhere neither system controls. This is the same advice as replacing a stack: the archive you never need is cheap, and the one you need and lack is not.
Tip: Test the export before you depend on it, ideally during evaluation. An export capability nobody has ever run is a claim, not a guarantee.