The newest version of Metaquotes has not made an official release yet, but it is still available. One of the new features is the ability to download history in the terminal. Click "Tools", "History Center", click a currency pair, double click M1, "Download". The data starts 1999.01.04 and should be set to the brokers timezone. Please read this entire post before you download!

To keep your existing account and broker information, install a new copy on top of your existing installation. If some files were still in use, you will need to restart.

The data will automatically be converted to other timeframes simply by clicking them. In some cases the converted history files are incomplete if you work backwards. (downloading M1, clicking M15 and then clicking M5 has inconsistent results. Hit M5 download to correct. To do it right the first time, click M1, download, click M5, click 15, etc.)

In several days the new client will be officially released, and we can just update using LiveUpdate. Most people will probably want to wait for the official release.

13 functions have been renamed, and EAs may break if you update to the most recent version. Please read the official post for more information. http://forum.mql4.com/4751
Download link provided in the URL (yes, I want to make you read some of it at least!)

this makes life a whole lot easier with the History I have to admit. Downloading 1M data at Alpari and converting to higher time frames has been a royal pain. Hopefully we'll have cleaner data too! I'm downloading 1M data now. Cross your fingers!

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Really good timing too considering alpari changed their URL and domain info.

I have been creating some EAs lately that perform incredibly on MQ4 downloaded data, but on further investigation it appears that it is only because the volatility is very high in each candle. Do not use it for backtesting or optimisation!!