acronis true image for doing a full pc backup (can save it as an 'image' file to say an external hard drive, or another pc on the network, or to multiple cd, dvd's)
costs about £25 i think, but its well worth it. if you backup your pc after a new windows install + drivers etc, xp image will be about 1gb max, vista about 4gb (both would fit on a dvd)
you use the acronis cd to boot, and can make the image without having to go into windows, and it has a windows based one if you want to schedule backups
for file backups only, like my documents, i'd use
synctoy, made by microsoft, and only copies newly update files upon the 2nd time of running it, easy to use, and totally free