Of course you can find this advice on almost any technology website, but I don't think it can be reiterated enough. This doesn't mean you need to go out and spend $100 on a external hard drive, though that is one solution. Really it depends on what you need to save. If you have a ton of digital photos, back them up at flickr.com, this can even handle your videos now. Upload your important documents to Google Docs. If there is something you can't upload to those two sites, there are a multitude of online storage solutions out there, just do a search for "free online storage" and you should find something that suits you.
Of course having a storage solution that you control sometimes is best, but by using freely available onlines storage you can be assured that even if disaster was to strike, you wouldn't lose your precious documents and photos. I recommend a mixture of both, using an external hard drive solution such as Maxtor's One Touch, and additionaly uploading your photos and files to a online site gives you the knowledge that you have your data on a hard drive you control, yet if your computer and external drive were to be destroyed in a fire, you will still be protected.
Just remember keeping your data backed up is one of the most important things you can do.