Hi Eduard,
you can export all documents by exporting the project from the Settings page. For this, go to the Settings page -> Export and choose the format (e.g. WebAnno TSV) and click on export the whole project. This will export your project as a zip file. After unzipping it, the annotation files can be found in annotation folder for each document and annotator.
As for the preferred format, Webanno TSV and UIMA CAS XMI both support all kinds of custom layers. The tsv format is more human readable and the xmi format is especially useful if you want to do further processing of the files e.g. with Python and the dkpro-cassis library [1] which handles this format quite easily.
Best,
Ute