When you download a GEDCOM of your tree it gives you everything in that tree - except pictures, stories, and historical documents you may have in it. GEDCOM wasn't designed to handle those and while some later versions of the GEDCOM "standard" have been modified it still doesn't do a good job since it depends more on the importing program's interpretation of the "standard" than anything else. It will download links to those items but there are other drawbacks I'll explain in a bit.
You can download a GEDCOM any time by doing the following.
1). Go to the overview page of any person in the tree you want to download a GEDCOM of.
2). Right below the menu bar you will see a link that says "View Family Tree". Click on that link.
3). On the pedigree view that comes up there is a link above the dark green bar in tiny print that says "Tree Settings". Click on that link.
4) On the screen that comes up there is a green button on the right hand side that says "Export Tree". Clicking that will start the procedure to generate a GEDCOM of your tree. When the GEDCOM has been generated there will be a green button that appears that says "Download your GEDCOM file". Click that button.
Be *very* careful not to click the red link that says "Delete your tree"! Once it is deleted there is no way to get it back.
Now- about pictures and stories...
How you handle these will depend on just how you are using your online tree.
Because an online tree can't be updated but a new tree has to be made each time you upload a GEDCOM that means that, depending on what software you are using, the stories and pictures have to be re-attached to the new tree and anyone that was invited to view the old tree must be re-invited to view the new one. All in all, just waaay toooo much trouble to fool with in my opinion so I don't fool with them. *grin*
A word about documents you find on Ancestry and attach to your tree or save to your shoebox; you really aren't attaching the actual document but only a link to where it is on Ancestry's servers. For this reason you should ALWAYS save a copy of the document to your PC. That way no matter what happens to your online stuff you'll always have a copy.
You should also be aware that by attaching pictures and stories you can, in extreme cases, make your tree so big you can't download it.
For that, and a host of other reasons, I suggest not adding pictures and stories to online trees.
One workaround that is easy is to get a Website and put the pictures and photos on it and then use a custom event in the person's timeline (something like "See Pictures") and then put the website's URL in the description field for that event. Free Websites accounts are available from Rootsweb Freepages and there is a Rootsweb message board to help Freepages users.
The way I work is this...
My main database in on my PC. I do all research and data entry there. I download copies of each document with the source and attach it as appropriate. From time to time I'll upload a new tree and that will include the links to sources etc. so I don't have to fool with re-attaching anything.
Sorry this has been so long but it is an involved subject.
Hope it has been helpful to you.
You have to decide which will be your main database- your online tree or your PC based tree. Whichever you choose then work should only be done in your main database, anything else leads to chaos and confusion.