While this method works great, why couldn't there have been an "Export/Backup Picklists" feature?
Click on Content.
Click on Export/Backup Picklists.
A box opens up where the picklists are listed.
Click on the desired picklist.
An explorer window opens up to browse where the list is to be saved with the given name being the default.
Click on the OK button and the list is saved.
Here's I've done the overview, now it's up to the Brew Crew to write the code.
This one is right up there with restoring from backups with this question being asked just as often.