There are many apps,software’s are designed to help you with this issue. One is FBdownloader thats the most popular one but I found that its not convenient as it should be. You should give your fb login credentials to use it and you can only download your frinds photos and your photos but even to download your friends photo albums, they must have set the albums are public and even when you can view it on web browser fbdownloader wont allow to download photo albums of your friends if they marked them as “Private” or “Friends only” . So its not a good option.
And when I was searching for the most convenient and easy solution I found great Google Chrome extension for doing this.