As mentioned before, the best defence against data loss from viruses or hardware damage is to make comprehensive, frequent backups. As such, I propose the following rule of thumb:
If a piece of data is worth more than the drive space it occupies, a second copy should exist somewhere else.
Nowadays, you can easily pick up hard drives for less than $1 per gigabyte. At those prices, it probably isn’t just personal photos and messages that are worth saving, but any bulk data (movies, songs, etc) that would take more than $1 per gigabyte in effort to find and download again.
Mac users should consider downloading Carbon Copy Cloner. It produced bootable byte-for-byte copies of entire drives. That means that even if the hard drive in your computer dies completely and irreplaceably, you can actually run your system off an external hard drive, with all the data and functionality it possessed when you made the most recent copy.
One nice perk about having one or more such copies is how they can let you undo mistakes. If you accidentally erased or corrupted an important file, you can go back and grab it. Likewise, if you installed a software update that proved problematic, you can shift you entire system back to an earlier state.
[Update: 22 January 2010] Since I wrote this article, Apple released new versions of OS X with their excellent Time Machine backup software built-in. I strongly encourage all Mac users to take advantage of it.