Always keep a recent backup of your site. Backups are useful in case of data loss, if your security has been compromised by malicious attackers, or simply if you made an error and need to revert the site back to a previous state.
There are two parts to a complete back up of your Joomla site. First is the database the other is the the file system.
Instructions on how to backup a database using PhpMyAdmin (common on most web hosts): http://www.phpmyadmin.net/documentation/#faq6_4
Alternatively, there are several backup extensions for Joomla 1.5 you could look into, JoomlaPack for a full backup of your site or SQL Dumper that can be used for both creating and restoring Joomla databases, Although if for some reason Joomla becomes impossible to log into, the backup will need to be restored through PhpMyAdmin or another method. both these extensions and more are available at http://extensions.joomla.org/
It is recommended to back up the database at least twice per week or even everyday (and more) if you have an active site.
Besides the DB, you should also back up your site files. The interval for this depends on how often you or your users make changes to the file system. If users can add photos and media or you make changes to the site other than simple text edits, it should be done often. This is best done with an FTP program and is no different than backing up a standard website. Download all the files and folders that exist in the main directory, and save it to a folder on your local computer. Be sure that the file and directory structure remains the same as it is in the live site. You could then burn a CD or save to an external hard drive if you desire.
TIP. If you've never used an FTP client, most hosts provide an FTP capability from within their control panel.