Time Machine does back up external drives by default (of course they have to be connected to your machine). You need to go into Time Machine preferences and exclude the drives you don't want backed up.
I'll be darned... I could have sworn it didn't. I guess I probably never had an external drive connected to my computer that wasn't for Time Machine... It doesn't seem to let me back up my flash drive however. That's pretty much what I was getting that from.
EDIT: Oh, derp. My drive is formatted FAT32... That's probably why.
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