Which service? Mastodon has a built-in export functionality in preferences.
I can’t find such an option on Lemmy, but you should be able to do a GDPR request for your information as a last resort.
edit: Non-post data / user settings can be exported (and imported!) but posts are a separate issue. See this open issue.
I was editing my comment as you were responding. Check the issue on GitHub I linked in the edit, and maybe thumbs it up for visibility. One of the commenters mentions using a third-party tool but I’m not sure the one they linked to can grab posts. In theory another one might exist to dump your post data.