You can export them under Settings, Bookmarks, Export / Backup Bookmarks, but some of the comments said the export had the wrong timestamps and was missing some fields.
To get a complete export of all your data in XML, use this curl command (or just use the URL)
curl http://<username>:<password>@api.del.icio.us/v1/posts/all > bookmarks.xml
You can also import your bookmarks into Diigo, a full-featured online bookmarking service I used for a year or two.
Update: The rumors of their demise were exaggerated. They posted an entry on the delicious blog to clarify the situation. “[We] are not shutting down Delicious. While we have determined that there is not a strategic fit at Yahoo!, we believe there is [an] ideal home for Delicious outside of the company where it can be resourced to the level where it can be competitive.”
Maybe XMarks / Lastpass can snarf them up :)