Yes.
It is called dump.
There's a mysql utility that creates the dump, and you can also dump your db with phpmyadmin, and you can write a script that dumps your database structure and data by yourself. And if you have direct access to your db files (via ftp or by any other means) you can just copy database files somewhere and this will help you in case of a crash, too.
Of course, I'm talking of MySQL, but in other db's should be similar utilities and methods (except for copying files - it may not work in other db's).
