To download students' grades, click on Gradebook and then click the Download button in the upper-right corner of the page. This will download the gradebook as a spreadsheet.
To download students' comments, click Course Home on the left navigation bar to return to the course home page, click the Assignments tab at the top, and select an assignment. Then click on All Comments and click the Download button at the bottom of the resulting window.
To download all comments by a particular student across the entire course, navigate to the Students tab on the course home page, and select a student. Then, click Download all annotations.