Easiest thing to do is simply use phpMyAdmin (presumably your host provides this) to do a database dump (backup) every once in a while. You can usually set up a cron (presumably your host provides this) to manage this on a daily, twice-weekly, weekly basis, whatever works for you.
If you are using wordpress 2.1 it has a built in export function that will allow you to download your content for backup purposes. It is at your ADMIN => MANAGE => EXPORT and just follow the directions to download the file.
This is a database backup plugin:
http://www.ilfilosofo.com/blog/wp-db-backup
Trent
My WP-DBManager enables you to backup directly using mysqldump application
http://www.lesterchan.net/wordpress/readme/wp-dbmanager.html
You server must have the php function exec(), system() passthru() enabled.
