I back everything up. On two separate CDs just in case one gets corrupted somehow. I'm not very dilligent about this though- I've usually got a couple of months worth of work sitting on my desktop waiting to be burned to disc.
What I'm thinking now, though, is that I should deliver one of each CD to my parents' house for safe keeping. What if there was a fire? I could lose my paper originals, my computer, and both back-ups. Some friends-of-friends in town recently lost everything when their studio space burned down a few months ago. They lost a lot. This has been on my mind since then.