I have a few programs that have an default back up that make an .sql file which is great but I also use OpenX which runs on PHP and has a database. That does not have an auto-back-up feature so do I just download the database and that's it?
Control panels / apps such as Webmin are good for automating these tasks.
The quickest way though is to shut down mysql and just tar and gzip the mysql directory structure then start mysql again. Obviously that may not be practical in some situations but it is good in others.
Don't forget to test that the backups work. Make sure you have a procedure for restoring the data.
if you are going to back up the raw database files i would strongly recommend you also keep a backup of the corresponding database dump. (in sql)
and as mention by Frank_Rizzo, testing your backups is critical. also note there may be files and directories containing content outside of the database that should be part of your backup plan. (images, scripts, etc)