Backing up via a command line is more reliable than using something like PHPMyAdmin.
If you have SSH or Telnet access, then I would recommend backing up via a command line. If not, you may have PHPMyAdmin, if that's the case -- take a look
here. However, this is only recommend with small databases, as time outs can occur.
You may also be interested in taking a look at
this hack, which does an automatic (cron) backup of your database