Following is a set of detailed instructions on how to get a BED file of all introns from the UCSC table browser. Note that most of the following options will be set by default. So the number of steps required is not as bad as it seems

1. Go to the UCSC table browser.
2. Select desired species and assembly
3. Select group: Genes and Gene Prediction Tracks
4. Select track: UCSC Genes (or Refseq, Ensembl, etc.)
5. Select table: knownGene
6. Select region: genome (or you can test on a single chromosome or smaller region)
7. Select output format: BED - browser extensible data
8. Enter output file: UCSC_Introns.tsv
9. Select file type returned: gzip compressed
10. Hit the 'get output' button
11. A second page of options relating to the BED file will appear.
12. Under 'create one BED record per:'. Select 'Introns plus'
13. Add desired flank for introns being returned, or leave as 0 to get just the introns
14. Hit the 'get BED' option

You will get output that looks like this for every UCSC gene:

chr3    124449474    124453939    uc003ehl.3_intron_0_0_chr3_124449475_f    0    +
chr3    124454093    124456414    uc003ehl.3_intron_1_0_chr3_124454094_f    0    +
chr3    124457086    124458870    uc003ehl.3_intron_2_0_chr3_124457087_f    0    +
chr3    124459046    124460998    uc003ehl.3_intron_3_0_chr3_124459047_f    0    +
chr3    124461113    124462761    uc003ehl.3_intron_4_0_chr3_124461114_f    0    +

As a sanity check you can go back to the UCSC genome browser, select add custom tracks, paste in some of your BED data (such as the block above corresponding to the human gene UMPS on hg19), hit 'submit', and then go to genome browser. The result should look something like this:

1. convert gtf to bed using this script https://gist.github.com/1155568

2. convert bed to either exons or introns using this script https://gireeshkumarbogu.wordpress.com/data-scripts/

Here is an easy example code to convert bed12 --> intron, 5' UTR, 3' UTR, CDS etc.

http://onetipperday.blogspot.com/2012/11/get-intron-utr-cds-from-bed12-format.html

If you want to get meta-intron (i.e. merge overlapped introns from one gene into one intron), you can use the code snip below:

cat exons.meta.bed | \
  sort -k4,4 -k2,2n | \
  awk '{
    OFS="\t"; 
    if($4!=id) 
    {
      if(e!="") print chr,s,e,id,1,str; chr=$1;s=$3;id=$4;str=$6;e="";
    } 
    else 
    {
      e=$2;
      print chr,s,e,id,1,str;s=$3;e="";
    }
  }
  END {
    if(e!=&"") print chr,s,e,id,1,str;
  }' > introns.meta.bed

where exons.meta.bed is in a bed6 format with gene_ID (e.g. ENSGxxxx) as name.

If you have known the organism, please use the "Table" utilities of UCSC genome browser.