Please be more specific.
You should be syncing your contacts, calendars and notes to your computer regularly as the manual explains.
You should be importing all pics/vids taken with the iphone to your computer regularly as you would with any digital camera.
You should transfer all itunes purchases made on itunes to your computer regularly.
When you sync it itunes performs a backup of the settings, messages, voicemail, etc.
You should be backing up your computer to an external source regularly.