With the release of iTune 8.2 and the pending release of the new iPhone 3.0 software or firmware, iPhone and iTouch users should ensure their iPhones are backed up. In addition, if you are considering upgrading to the new iPhone Pro, you should ensure your camera roll photos are backed up so you don't inadvertenly lose any info in case there is a problem with backup file. Here's Apple's KB article on backing up your iPhone and itouch.
Apple iPhone / iTouch Backup KB Articlehttp://support.apple.com/kb/HT1766
On a Mac: ~/Library/Application Support/MobileSync/Backup/
On Windows XP: \Documents and Settings\(username)\Application Data\Apple Computer\MobileSync\Backup\
On Windows Vista: \Users\(username)\AppData\Roaming\Apple Computer\MobileSync\Backup\