To dump your database:
mysqldump -u USER -p PASS my_db > my_db.sql
Then to restore:
mysql -u USER -p PASS my_db < my_db.sql
Or, using gzip for compression, dump with:
mysqldump -u USER -p PASS my_db | gzip > my_db.sql.gz
And restore with:
gzip -cd my_db.sql.gz | mysql -u USER -p PASS my_db