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What kind of export do you mean?
Export to XML (via Backup System) does export comments, but it does NOT export the attachments. Attachments are kept in a separate directory (with subdirectories for each project/issue) and have to be copied manually.
Export to XML from Issue Navigator (Views | XML) or an issue screen (e.g. <your-JIRA-base-URL>/si/jira.issueviews:issue-xml/<issue-key>/<issue-key>.xml does include comments (rss > channel -> item -> comments) and attachments (rss > channel -> item -> attachments) - but just basic info about the attachments, not the content of them
Export to Excel (from Issue Navigator | Views | Excel (All fields)) does not export comments (documentation clearly mentions that). I think you would need to write a plugin which does it.
I tried using this feature (Export RSS with comments) but ran into qualitative issues.
When I export the records using the option (Export RSS with comments), the number of tickets exported by JIRA XML export is fewer than the actual #of tickets. The other option of exporting to XLS works fine and retrieves all the tickets.
Secondly, when exporting using the RSS with comments, I also noticed that not all the comments are exported out. Many of them are, but some are not. This is as of Oct 28, 2022.
Feel free to comment on the quality aspect. I may even provide the proof to Atlassian by opening a support ticket/request to further investigate this.
JIRA PDF View Plugin does include both comments and attachment in the exports!
Comments are trivial, the funny thing is with attachments. The PDF file format allows embedding byte streams in the documents, and the PDF View Plugin uses this to export the issue attachments to attachments embedded in the PDF document!