If you use content management or any kind of database-driven website, you will likely have several MySQL databases installed on your host. It is vitally important that you back this up as often as possible. There are a few ways to do this, but I'll focus on two of the easiest and most practical.

PHPMyAdmin: If you host provides CPanel, go into MySQL Databases, and the scroll to the bottom where you will see PHPMyAdmin. This is a great way to visually administer SQL. From here select your database from the drop down menu on the left, and then at the top click Export. Make sure the following are checkmarked: Export type as SQL, Structure, Add AUTO_INCREMENT, Enclose table and field name with backquotes, DATA, Hexadecimal for BLOB, and INSERT on the drop down menu.

Then click "Go" at the bottom. Save it to your desktop.