That's the downside of keeping your data in a service. This is a conceptual problem due to the lack of agreed upon data protocols. Google Reader has highlighted the issue well, and more services are to follow I'm sure. This is an issue that never existed for files since they by definition conform to a specific format.

RSS and CalDAV are examples of web data formats which do work. I'd like to see more formats like that, or perhaps an ability to fall back to export data as files from web services.