I just keep backups on a External HDD, which is like another partition (literally another drive, though)
To make my backups easier, I make a folder in my "Home" directory called "Files".
Inside there, I make another named "Photos", "Documents", "Messenger Logs", "Misc", "Torrents" etc..
I keep all my photos inside the photo folder, I don't use iPhoto (I never liked it). I put all my documents in the documents folder, and make aliases to my messenger log files (MSN, Yahoo, etc..). I don't really back those up, I just like having easy access to them if the need arises. Inside my "Misc" folder is random files I have, and also a folder called "_Backups"
I put an underscore so that the folder rises to the top when sorted by name. Inside my backups folder is where I keep RSS Feed backups, iCal backups, Macro backups, Safari Bookmarks, etc...
When The time comes to back it all up, I click my "Files" folder, and drag it all away. It will save my photos, documents, files, and everything. This makes it so much easier for me. Another up-side is that "Microsoft user data" and other pointless things in the default 'Documents' folder do not get saved, as I don't have a need to back them up.
I remove my default "photos" "documents" and other folders from the finder sidebar, and drag the new ones over. I then change the icons to custom ones that I have found so that it doesn't look so dumb with generic folder icons all over the side.