WordPress.org has a codex with instructions on backing up a WordPress website, showing you to back up your WordPress Site and WordPress Database as well.
The codex has lots of info about how often to back up, how to automate back up’s, etc. It includes info on database back up with: cPanel, Direct Admin, Ensim, Plesk, vDeck and Ferozo.
There are lots of links to Backup Resources, Backup Tools and Automatic Backups.
Essential reading for the WordPress webmaster at: http://codex.wordpress.org/WordPress_Backups