When I upgraded to WordPress 2.1, I noticed that the backup plugin was no longer bundled with the WordPress 2.1 installation files. I'm not exactly sure why; probably a combination of (1) WP 2.1 includes a new import/export feature and (2) the plugin changed hands (from Skippy to Austin Matzko).
I tested the new import/export feature. It worked as advertised, but it does not save everything. For instance, the options you have already setup and the descriptions of the categories are not included in the exported XML file. When I moved this site to a different web host this past week, I used the new WordPress Database Backup 2.0 plugin to save my posts and configuration. Then I restored the backup on the new host using phpMyAdmin.
The new backup plugin has a very useful feature: automatic backups (Manage –> Backup). As you can see in the screen shot on the right, you can schedule backups to occur hourly, daily, or weekly. I have to admit, I was a bit nervous when I used the automatic backup feature. But it has worked like a charm for over two weeks now. At first, I limited my tests to just this site, but now I also use the automatic backup feature on my other four sites. I find the automatic backup feature very handy because it is a bit of a chore to manually backup five sites.
BTW, the backup files are emailed to you. I actually used one of the automatic backup files to restore the database when I moved to my new web host. My guess is that if you have a massive blog, you might have problems having your backup emailed to you. I think if you leave out your email address in the "Email backup to" box, the backup will be saved on the server (not confirmed). The backup of my largest WordPress site has 2,882 posts and the 3.8M backup file arrived daily via email without any problems.
