I've noticed many readers are using del.icio.us, so this should come in handy. Someone has developed a Ruby script that uses the del.icio.us API to download all of your links, and then uses SQLite to put them into a local database, whereupon you can do whatever you like with them. I just gave it a try and it works well.

It lacks some spit and polish though, and will complain if you run it more than once a day (as it attempts to recreate the tables on the same database). While you can run it daily, it uses a new database for each day, which might also not be so great. With some hacks, though, this could become a very useful tool.