You can use Titanium backup, which will create compressed file, but you can decompress it on your PC and extract .apk file.
Method I use is with ASTRO. Go to menu-tools-backup programs, choose programs you want to backup and hit 'Backup' button. Then navigate to backup folder and there are your programs. But be aware, they will show market names whic are not always easy to determine which .apk is which program.