I use the built-in FTP stuff and transfer it all onto my PC...its quite fast (woulds be faster if I didn't use the wireless, but ethernet instead) but it gets the job done.
I use Apple's BackUp which comes with a .Mac subscription (not free though). A lot of members here use SuperDuper!, which has a free version. Or as illstabyou mentioned, you can simple copy your home folder (or any files you want to back up) onto an external hard drive or other other media (such as DVD or CD). Although an external hard drive can hold more data, and can have data rewritten to it (as opposed to DVD-R and CD-R, which are good for archiving data such as photos).