Stitch Labs allows you to export invoices to .PDF as well as send them directly from within the app. You can also customize your invoices with logos, contact information, and notes as well as download invoices in bulk. Stitch does a lot more than just invoice exportation, but does have this functionality you seek.
You can also use Sufio app from the Shopify App Store (http://apps.shopify.com/sufio) to automatically create PDF invoices for all your orders.
You can them download PDF invoices as separate files or easily print them from one large PDF document with all invoices combined.
Hope this helps,