1.    DON'T be in mysql command line client when trying to use this command.  It seems common sense, but until you know, you don't.
2.   When trying to give the password -p option, make sure there is NO space between the -p and your password. (e.g mysqldump -u [name] -p[password] --all-databases > alldb.sql)
Notice how there is NO space between the 'p' and 'password'.  There was only one example that used this that I found.  Every other example showed a space.  It may work on MySQL 5.1+, but it does not work on my copy of MySQL 5.0.
 
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