You want to make sure you have a local copy of your website. That’s in case you want to leave your current hosting provider, or you fear that important content could be lost in a data centre crash. I’ve seen it, it’s not pretty.
Here are some plugins you can use to backup your site from the WordPress back end.
There are quite a few solutions that let you backup your entire WordPress site – BackupBuddy is one, Blogvault is another, I’ve even written one myself called Snapshot Backup – it’s free from the WordPress repository.
For a couple of client sites I’m using Automattic’s service called VaultPress (http://vaultpress.com) – it’s $15 per month per site and backs up your site onto Automattic’s servers so there’s no need for an FTP or S3 account. They also restore backups for you and it integrates completely with WordPress.
For a super solid backup solution, I strongly recommend it: user friendly, easy to setup and it’s a great way to support an Open Source project (VaultPress comes from the makers of WordPress).