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nice vitally important we repeated it thrice. Yep, data doesn't exist if it it isn't in at least three places: source (device), local backup, and offsite backup (which can be the "cloud" or it can be a little USB hard drive you take to work or leave at the parents' place). Your device can be lost, stolen, or bricked. Your local backup can error out or burn up or get flooded, and the cloud can eat your data. Having all three puts the odds of having one available version considerably more in your favor.
iPhone users rely on MobileMe, or Google services like Gmail, Google Calendar, Google Contacts, etc., and since the App Store lets us re-download applications we've bought, some even rely on that as de facto cloud-storage for our priceless personal information and our costly purchases.
iTunes automatically backs up your iPhone to your PC hard disk. If you have an automated backup to a second hard drive (including Time Machine), along with MobileMe, Google, or a dedicated online backup service, good on ya. You're doing it right.
If you don't, set it up now. 1 second after failure is an eternity too late.