Having an up to date backup can save you from many troubles.
Using Magento I would suggest you to backup the entire site. You can use your hosting panel and create a compressed .zip of all your public folders.
Perhaps this option will force you to download a couple of GB's of files and folders.
The Media folder
Surf your site using a FTP client and go to /media/catalog
Backup that folder wich contains all the product images.
You can use the build-in feature to create a database backup from the Magento admin panel.
Go to System -> Tools -> Backups
Now you have to Create a Backup and then download it.