if this is your server and you have access to all the databases, you can use the -A or --all-databases option to backup all DBs:
if you're on a shared server or something and don't have access to all DBs you'll get an error when mysqldump attempts to access the other DBs. the --force option may get around that problem, though, and just dump the DBs that you have access to. i'm not sure though.
mysqldump --opt -A > /path/to/dump/file.sql
or, finally, you can name all of the databases manually that you want to dump, which is faster than seperately. use the --databases option
mysqldump --opt --force -A > /path/to/dump/file.sql
of course, in all examples, specify your login with -uusername -ppassword if necessary.
mysqldump --opt --databases db1 db2 db3 db4 etc > /path/to/dump/file.sql