Amazon doesn't provide any way to export Kindle highlights so I set out to find something to do this.
I found a ruby script that looked promising: https://github.com/speric/kindle-highlights
It only downloads content of the last book because of changes to how Amazon shows your highlights, or perhaps I have so many they are paginated for me and not for most people :).
Anyways my version is here: https://github.com/g0t4/kindle-highlights
See the github page for documentation on how to run the backup via rake tasks.