I use Godaddy as well... This is what I do to back up my site.

First, as mentioned, back up your entire site, the vital directories are your admin and includes directories. If you have added mods like google checkout that created other directories you need to back them up. You should back up everything tho.

Second, In godaddy....

Go to your hosting account where the databases>sql is located. Run a backup of the current database. This can take from 5 mins to a few hours depending on the amount of data that you have there.

This will save the database under the _db directory.

Download this and save it for later so you have a copy of it.

with the directory and database backups made, you have a full restore if something happens. Godaddy runs backups everynight but if something happens, good luck getting them to go back and recover the db. I lost 4 months of work from not doing a regular backup. (they screwed up) So, do not leave the database on the server make sure you have a local copy as well. Good luck and feel free to ask me if you have any questions relating to Godaddy and the site. I am not an expert but have it all pretty well down by now.