The process depends on which service you use. Here's a quick summary for the most common ones:
Ancestry: Go to Trees, open the tree you want to export, open Tree Settings, click Export Tree, and download the file. (Only the tree owner can export.)
MyHeritage: Hover over Family Tree, select Manage Trees, find the tree you want, and click Export to GEDCOM.
Geni: Click the Family tab, then Share Your Tree, then Export. Geni will send you a download link.
Family Tree Maker: Go to File → Export, choose Entire File or Selected Individuals, set format to GEDCOM, and save.
RootsMagic: Go to Files → Export Data → GEDCOM File, choose a destination folder, set your options, and click OK.