Digging Into WordPress uses WP-DBManager which backs up and emails the database out every single day. Really, the database is the only super crucial element of a WP site. If you lost the theme, that sucks, but you can toss up another theme and rebuild something better. If you lost the database, you are up shit creek.
I think the most common need to restore from a backup would be if you got really badly hacked and they got into your DB and changed a ton of stuff. It might be easier to patch the whole and then roll back to an earlier version of the DB.
I have never needed a backup, though I actually just recently did this. It’s really as simple as exporting the database and calling it a day. There are a couple plugins that do this, but it’s just as easy to do manually. I think you can even set something up to do it for you every x-days/weeks/months/etc.