I wanted a dead-tree version of my LiveJournal, because I want my kids to be able to read it someday, and I know a soft-copy will go poof well before then. LJ’s own export feature excludes comments, and I’m not about to download one month at a time, so I had to keep looking. Fortunately, a quick Google produced this:

SourceForge.net: ljArchive “ljArchive is a tool for downloading, browsing, and analyzing journal entries and comments from LiveJournal (or LiveJournal clones).” http://sourceforge.net/projects/ljarchive/

I was able to export the entire journal (comments included) to both XML and HTML formats. One single file for each. A couple more clicks, and the whole thing was printed (well, I also had to refill the paper tray - it was 117 pages).