https://www.reddit.com/settings/data-request
They must oblige within a certain time frame — even if your account has been suspended and I believe even if you’ve deleted your account. Curiously, this might be one effective way to protest. Golly I wonder what would happen if many people requested such reports simultaneously. It seems these must be processed manually by admins.
As a bonus, it’s nice because all your comments and messages are searchable.
Check your reddit inbox. I just checked mine and realized they fulfilled the request last month, but the download link has expired. I had to make a new request.