I'm using the following query string:
http://fantasysports.yahooapis.com/fantasy/v2/game/nba/players;start=offset/stats;type=date;date=yyyy-MM-ddThat definitely took me awhile to figure out... it's not obvious from the documentation. So I step through one day at a time, grabbing 25 players at a time (the max allowed per query), waiting a long time to make sure I don't start throwing 999 exceptions. My OAuth cert expires in 1 hour (unfortunately you need that even if you're not doing league-specific stuff), so I had to restart it several times but I was able to fetch all the daily data back to like 2003 over the holidays. Also note that the game code (in the above case "nba") is only good for 2010-2011 season dates, you need to use the correct game code
here for prior seasons. Playoffs and preseason game days will return empty data sets. Wikipedia is a good source for when each season starts and begins (for example
http://en.wikipedia.org/wiki/2006%E2%80%9307_NBA_season) so that you don't waste time querying days guaranteed to have no games.