As Daryl wrote, the standard Excel export feature is not going to export neither your screenshots, nor other type of attachments.
The JIRA PDF View Plugin can do both. You can display the image type attachments right in the PDF (optional), but even better you can embed any type of attachment right in the PDF (optional)!
For example, if you have a logfile attached to a bugreport, or if you have a Word document attached to an issue, those will be stored within the PDF. Then anyone who reads the PDF, can open and save those embedded files! This is actually a pretty powerful feature of the PDF fileformat.
See this article about this feature: http://midori.hu/products/jira-pdf-view-plugin/documentation/embedding-attachments
(Discl: I'm a developer of this plugin, please feel free to ask questions.)
It can surely export all issue fields, but attachments and screenshots are not really fitting the XLSX concepts.
With JExcel PRO you can export your issues to Excel (or HTML) with the images, comments and attachments.
Feel free to try it:
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