One of the most useful tools out there for Joomla! has to be JoomlaPack:

http://joomlapack.net/

Once installed, you can use this tool to backup a Joomla! site.  A Joomla! site consists of all the files you unzipped when you first installed the Joomla! package along with the database that was created when you went through the standard Joomla! installation process.  You can think of the database as a bunch of tables similar to an Excel spreadsheet.  All the information about your menus, sections, categories, articles, users, etc is stored in the database.  The wonderful thing about JoomlaPack is that it will dump all of that database information to a file and then compress it along with all your Joomla! files into one easy-to-keep package.

As if this wasn't enough, there's more.  Once you have the backup archive file, you can easily use it just like you used the Joomla! package you first installed to setup your entire site on another machine.  This can be useful if you are transferring your site from one hosting provider to another or if you want to setup a test environment on your local computer (for more about this, see this article on docs.joomla.org).

There are a few tools that I use on every single Joomla! site I setup and JoomlaPack is one of them.