Wordpress ships with a couple plugins installed like Akismet which is a great help. I'm not sure what the Hello Dolly one is and am afraid to try it because it sounds lame. But it also comes with a Wordpress Database Backup. I've been using this for a while and thought I would share it with you.

He shows the installation and use of the plugin, including screenshots of what the various bits of functionality look like. Making backups is always a good thing, and making it this easy is even better.