Well we do what I suggested earlier and archive each year's Moodle site as part of our upgrade process
We freeze the enrolments, clone the site as an archive - staff can get at student interactions/grades etc for each academic year, students can get at previous year's course materials. But then Moodle isn't our official repository for grades, its just a handy way to input them and students to see them within the VLE.
You could also try the Outline and Complete reports in the Activity Reports section of a student's profile - not sure about exporting them, maybe just copy and paste. But also, if the code is there to generate those reports, you could probably take a look at the query that generates them and use that to query the database directly to get a csv file out from the database (or custom report plugin if you want to tailor it a bit more)
Richard