A regular backup of your Salesforce data is critical. Salesforce's Data Export Service will create a bundle of 500MB.zip files each containing a .csv file for each one of your standard and custom objects, as advertised, on a weekly basis.
While manually downloading those files is cumbersome, the real challenge is in restoring the data in the event of a data loss. Also, the Data Export Service does not include any of your metadata, which is critical in rebuilding custom work and relationships.
Learn about the process of recovering lost data using the Salesforce weekly export, and the advantages of using a Salesforce AppExchange solution like Own Recover.