Sooner or later, you will lose files, so you have to be prepared. Fortunately, Time Machine the backup application built in to Snow Leopard (and Leopard) makes backups easy.

The first thing you’ll need to purchase is an External USB or FireWire hard drive. If you don't know what your looking for, buy the largest drive you can afford. A 500 GB or 1 TB drive is a safe bet. Try the Western Digital's WD Passport, or the Western Digital My Book Studio Edition. Also Lacie's d2 Quadra Hard Disk or Grand Hard disk are a great and visually attractive option.

 
1. The first time you connect the external hard drive to your Mac, Time Machine will ask if you’d like to use it for backups. Click Use as Backup Disk and System Preferences will open to display Time Machine preferences.

From now on, Time Machine will do the rest; your first backup will begin automatically in a few minutes.
 
2. However you do have the option to Exclude some items to conserve disk space. 
For example, you might want to exclude your Applications folder from backups, and just reinstall apps from their original CDs if your drive if anything happens to your drive.

Click the Options button in the Time Machine preferences window and add files and folders to the "Do not back up" list by clicking the + (plus sign) button and finding the file or folder you do not want backed up.

If you change your mind later, you can always remove items from this list by clicking the - (minus) button, and those items will be excluded in the next backup.

When your first Time Machine backup starts, a new window appears on your desktop to let you know the status of your backup.

3. The first backup will take a long time since everything on your Mac is being copied. After the first backup, Time Machine will automatically back up incremental changes to your files every hour as long as you leave the backup drive connected to your Mac. Future backups will only copy files that are new or have changed, this will make future backup's that much quicker.
 
4. If you accidentally delete an important file from your Mac's HD, all you have to do is click the Time Machine icon in your Dock or the menu bar to enter Time Machine and retrieve the file. Entering Time Machine replaces the Desktop with an outer space background and Finder windows that seem to stretch on forever. The front Finder window shows what's currently on your Mac.

All the Finder windows behind the first one are earlier backups. Using the arrows at the bottom of the Time Machine screen, you can navigate to the last time a file was backed up. Or you can use the sidebar on the right hand side, and choose a date that you want to go back to. Once you find a missing file you can single-click it, and then click the Restore button at the bottom right to copy the file from your backup drive to your Mac's hard drive.
 
That was easy, right?
Now you can rest assured you have a working backup system in place.