I'm a bit paranoid when it comes to backing up.
I have all my files on my HD, and do rolling backups when ever I think of it onto an external so I have at least three recent backups. Then every month or two I archive the latest back up and burn it to dvd.
So I end up with an archive on my HD, and my External as well as a little library of dvd's that I can refer to if I absolutely have to. I also try to keep the dvds in another location as a really paranoid precaution.
I developed most of these habits from my day job where there are a lot of re-prints and amendments so I'm always trawling through past artwork, having the archive saves me a lot of time. Especially with spotlight on my mac.
Probably a bit too much, but anyone that has has HD failures/lost work will probably understand.