No problem at all retrieving your files from Zenfolio. You simply copy them back to your PC. I should also mention that Zenfolio offers "right click" protection of your files (same as SmugMug) so nobody can download your master image files without your consent and this can be enabled or disabled at your discretion and by individual gallery or picture as well. Zenfolio will have a picture comments section available shortly and will also be offering theme customization as well in the near future in case you don't want to use their pre-made themes.Thanks Kellie and James this is the info I was looking for to start my search.
How about retrieving your photos if you leave the site, or want to rework them?