Sphin: I use this application to collect the data: https://github.com/Aurora-Team/BitcoinExchangeFH

Currently I'm collecting data only for Bitfinex pairs and I store them in .csv files. I've got only one month worth of data (for most of the pairs) which is around 40 GB.

It seems that you can download data for various exchanges here: http://api.bitcoincharts.com/v1/csv/

I don't have any experience with the source though so I don't know what's the quality etc...