I would only add that you would also want to pipe it to gzip and download it - when hard drives fail, sometimes the whole lot goes.
Keith, in the advent of a disaster, how would you suggest importing the mysql dump? (Assuming you don't have shell access which is rarer these days).
It's pretty easy to have your mysql databases automatically back up with a bash script, using cron (Unix or Linus servers). Using a text editor, copy and paste the following code into a new text file:
#!mysqldump -hlocalhost -uroot -ppwd --opt db2 > var/www/bak/sqldata/db2.sql
Name the file anything you want as long as it doesn't have a space in the name, and you end it with .sh, such as dump.sh. Upload it to your server using ftp. Then, use your cron GUI or the bash commands to edit your crontabs to set it to automatically run at specified times, pointing cron to this file stored on your server. Do a Google search for Cron to get more details for your specific hosting package, or your particular server setup.