You can download your account settings as a JSON file. That includes the lists of followed communities, saved posts and comments, and blocked instances, communities and users. I'm not aware of any other way to download additional data.

No settings page (as far as I'm aware), but you can use the API to get everything (posts, comments, etc):

step 1: get login token -

curl --request POST \
     --url https://lemmy.ml/api/v3/user/login \
     --header 'accept: application/json' \
     --header 'content-type: application/json' \
     --data '
{
  "username_or_email": "2br02b",
  "password": "YOUR-PASSWORD"
}
'

step 2: use login token (big long string starting with 'ey') to get data -

curl --request GET \
     --url 'https://lemmy.ml/api/v3/user?username=2br02b&page=1' \
     --header 'accept: application/json' \
     --header 'authorization: Bearer YOUR-JWT'

Increment page number until you have everything. source: https://lemmy.readme.io/reference/get_user

Is this a GDPR thing?

Account settings import/export exists, but not a full data export. Part of the reason is that importing and overwriting historical data isn't possible with activitypub.

But at least a full data export would be possible to do. Open up an issue for this in the lemmy back end.