USB Flash: Fairly robust and small size. Small capacity, High cost/MB
Removable Magentic Media such as Floppy, LS120, Zip, Jazz: Small capacity, unreliable, many differeing and propritary formats.
Spare Hdd: Fast, Easy, Good Cost/MB. Vulnerable to drop (removable or external) or virus, OS error/corruption.
CD/DVD-R: Decent capacity, low cost/MB. Vulnerable to scratches, melting.
Tape: Low cost/MB, good capacity, Slow and drives are $.
Internet service, gmail drive, etc: Good cost/MB sometimes free, slow, potentially unrelaible (most list they are not resposible for data loss), possible privacy issues.
There are many more.
Basically don't rely on just one. I have my most important files in a flash drive that stays in my wallet with my house key so I have to take it with me, then CD's with documents backed up and then an external HDD for quick dumps of the whole hole folder, though I need to get another drive, I've grown over 20G of data (the 20G drive that came with my laptop I put in a $12 external case when I put the 60G drive in my laptop). Also have a few pictures on my website so that makes 4 methods for me.