hal1 when you connect ur device via usb cord you can save everything in the device(ur bb ) also if you want to save everything on ur media card you can take it out of the bb and get a card reader and save it to the pc
actually i've always wondered what the backup function backs up as well.
i have my media on my media card so that's no problem. My address book is saved on my phone though, and that's important so i would hope/assume the program backups up calenders, contacts, messages?