Yesterday I wrote about fixing a hacked WordPress blog. Here is how to grab a back-up.
1. Log into your FTP server and download all your theme files. It's all in wp-content, but you'd do well to download the admin stuff as well. Just grab the whole lot.
2. From your WordPress dashboard, under Tools, select "Export," create the file and download it.
Seriously, that's it. That's a full restore on your site if something ever goes wrong. Why wouldn't you do that?