MyPhone, pimbackup, Sprite Backup, SPB backup, PhoneLog, or for the brave, the good old fashion raw db file backup
ps. I do ALL of the above exept for spb, and I rely on sprite for the raw db backup
edit. for the sim card noobs, there is always the option to backup to the sim card, but I would make sure you have other backups first as you many end up with duplicates