Not at all, it's utterly trivial with something like OfflineIMAP. Of course, depending on the size of your mailbox it'll take a little while for the first synchronisation but after that it's incremental.

Or just use Thunderbird and tell it to download all messages ("synchronization").

Just use an e-mail client:

http://mail.google.com/support/bin/answer.py?answer=78799

Gmail only lets you download so many messages at once. It takes a very long time.

Not in IMAP.