No, there's no general right-to-data law. There are general right-to-government-data laws, so you can e.g. request your own FBI record. But private businesses don't normally have to disclose what data they collect on you. There are a few exceptions for specific areas; for example, the credit-ratings agencies have to provide you with a copy of your credit report, and in some cases an employer may be required to provide you with a copy of certain personnel records. But they apply to fairly limited situations.
So for those of us that live in the US, is it not possible for us to request to have the data that Facebook stores about us???
Related (well, maybe): You can easily download a copy of your Facebook data no matter where you are located, by logging in and clicking "Account Settings" > "Download a copy of your Facebook data". This will include all things like messages, pictures, etc., but I am positive that it isn't nearly as in depth as what is outlined in that article.
