The only thing tying me to Yahoo at all anymore is Flickr, and I somewhat hope it goes under just so I get some sort of archival download of my content and a reason to finally find something better.
They don't have built-in "archival" downloading, but they allow other apps to do it for you. The free version of Bulkr will grab your photos, and the paid version will include tags etc. https://www.flickr.com/services/apps/72157622874451890/
