I use RAID 1 now for my documents but before that I just used WinRAR copy/paste onto two harddrives. That way I know exactly what is being backed and what isn't. I wouldn't trust a backup program to get it right!
I don't back up anything really. I have all my important downloads on my flash drive. If my HDD went out right now I would lose my music (except for what I have on Ipod), pictures and videos. Should I back up? Probably. Do I really care though? No.