All of the information that you enter into your WordPress site yourself and any responses entered by others - all the posts, pages, and comments - along with a lot of the configuration information- is stored in a database. The only content that you supply yourself mnot stored in the database are any images (presumably they don't expect any large complex sites to be built using WordPress or they'd have put the images in the database as well). To keep the information for your site safe in case anything happens to it you need to backup the data in the database (and all the images).
If you are using WordPress on hosting alongside any other applications or sites then you may already have processes in place to backup the entire database which will include all of your WordPress information and so not need to concern yourself with taking separate backups of your Wordpress site.
Many people run a WordPress site using its own separate database with perhaps nothing else running on their hosting. If you run your WordPress site this way then you need to consider how you are going to organise the backup copies of your site.
WordPress provide two options in the Tools section of the administrator menu called Export and Import. These options allow you to extract the data from selected tables in your WordPress database into flat files and to load flat files created that way back into your WordPress site. If you don't have any other backup processing set up for your WordPress site then using the Export option to export all the data is one way of making sure that you have backup copies of all your information (except the images which you will need to backup separately).
Now the Export option is primarily intended for transferring your data from one Wordpress site to another (and the import option can be used to import from a number of other types of site and not just WordPress but there is no reason why they can't be used to take backup copies of your site. A better solution though if you don't have something set up that already backs up everything in your database is to install a plugin that will do the backups for you.
There are well over 100 plugins listed just for doing backups of a Wordpress site. In selecting a backup plugin there are a couple of things you need to keep in mind. The first is where you want the backup to be stored. There is little point in storing backup copies on the same hosting as your site. While that would cater for if something happened to the data in the database, it doesn't cater for if something happens to the entire hosting as then everything on the hosting might be lost. You need the backup to be stored elsewhere. The different backup plugins that are actually worth using offer a variety of alternatives for where they put the backup with some simply emailing it to you (so you can't consider the backup to be complete until you have downloaded a copy of the email to your own computer and saved the files there. Others use some form of cloud storage - either a generic option such as DropBox or the cloud storage associated with the plugin provider - so that your backups are stored online.
Another thing to consider is that some of the plugins will backup your entire WordPress installation while others are specifically a database backup facility (which may mean that you can backup any other data used by any other applications on your hosting but which will mean that any images used by your WordPress site will not be backed up.
In addition, there is no point in having a backup process in place unless it gets run at regular intervals. The backup plugin you choose should be able to be configured so that it runs automatically. The frequency at which you run it should be at least as frequent as the frequency at which you update your site - so if you go in once a week and add a weeks worth of blog entries to be posted daily through the coming week then you need the backups to run at least weekly - preferably soon after the time you usually do the updates.