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Data privacy regulations like GDPR and CCPA define a right of access empowering consumers to view the data companies store about them. Companies satisfy these requirements in part via data downloads, or downloadable archives containing this information. Data downloads vary in format, organization, comprehensiveness, and content. It is unknown, however, whether current data downloads actually achieve the transparency goals embodied by the right of access. In this paper, we report on the first exploration of the design of data downloads. Through 12 focus groups involving 42 participants, we gathered reactions to six companies’ data downloads. Using co-design techniques, we solicited ideas for future data download designs, formats, and tools. Most participants indicated that current offerings need improvement to be useful, emphasizing the need for better filtration, visualization, and summarization to help them hone in on key information.