Apple offers several ways to back up your iPhone. The original way is plugging into your computer and opening iTunes. Syncing this way will store a back up on your computer.
With iOS5 there are two new ways to back up, Wifi Syncing and iCloud Backup. First you can now wirelessly sync to your computer over wifi. With automatic wifi syncing turned on, your iPhone will sync whenever you plug it into a charging dock of any kind and it is in range of your computers wifi network.
The best way today however is using Apple's free iCloud backup. Once you turn on iCloud back ups, your phone will back itself up to Apple's servers over the internet while your iPhone is charging. These backups are available anytime, anywhere. This way is the most transparent and is really a turn on a forget backup system. The only weakness of this option is storage. Apple offers 5GB of free storage in iCloud. While this doesn't include Apps, Songs, Movies, TV Shows, or iBooks it can still fill up rather quickly if you take a lot of photo on your iPhone. Luckily expanded storage is easy to buy and cheap to afford. You'll find more information expanding your storage in your Settings app under iCloud then Storage & Backup.