You can find all your Amazon books at the
Manage Your Kindle page, and you can manually Download and Transfer via USB to any devices you may have. If you don't have a Kindle, you may want to try
Kindle for PC.
Assuming you use Kindle for PC, you can download books directly through the application, and they will appear in "My Documents\My Kindle Content\" -- from there, you can convert them with calibre, although if they have DRM you may need to get help from Apprentice Alf...