I've had Sprite Backup for years (Since version 2.1... they're on 6.5 now), and I gotta say, it is fantastic. I've got mine set to backup weekly, and keep the last 3 weeks of backups. I've used it several times to restore single files, as well as the entire phone. It even has a special "upgrade" mode, that enables you to upgrade the firmware of your phone, and still restore your backup (without touching the files changed by the firmware update).
As an HTC owner, you can get a special package that includes Sprite Terminator, which allows you to track (via GPS), lock down, or even wipe your phone (via SMS) should it be stolen. Both programs for $19.95. What a deal!
Here's a link.