For the sake of over-explicit brainlessness, after following marc_s' instructions to here...
In SSMS in the Object Explorer, right click on the database right-click and pick "Tasks" and then "Generate Scripts".
... I then see a wizard screen with "Introduction, Choose Objects, Set Scripting Options, Summary, and Save or Publish Scripts" with prev, next, finish, cancel buttons at the bottom.
On the Set Scripting Options step, you have to click "Advanced" to get the page with the options. Then, as Ghlouw has mentioned, you now select "Types of data to script" and profit.