you can also >>use SQL Server's builtin backups and just ftp/transfer the files and restore them locally >>using EM, take the db offline, copy the .mdf file, bring the db back online and copy the .mdf file locally (and attach it to your local SQL Server)
First option is more classically elegant, second will be smaller filesizes (no transaction log to worry about)
You'll probably need elevated privs for both of these options, by the way :)