I would like a report that details all customers, their full address/contact details and payment methods.
Is there an easy way to get this or am I going to have to go to Manage Customers and export information via each individual record?
System > Import/Export > Export, then choose to export Customers. It will create a CSV, with contact details and addresses (it will display each address on a separate row)
There's an extension from aheadWorks that helps with custom Magento reporting - Advanced Reports. aW also have a unit on payment types, Sales by ZIP code and Sales by Country units, those three do exactly what you need http://ecommerce.aheadworks.com/magento-extensions/magento-analytics.html Hope it helps.