You should use mysqldump to backup the database. This is the ONLY tool which will do it correctly. Forget cpanel, forget PHPMyAdmin, they are all horribly broken and will make hideous mistakes.
In any case, you should be making regular backups of your database (if this is a production site). Use the same system as you use for your scheduled backups.
Obviously disable the web site before taking the backup so that nobody can enter any new data in the interim.
Read the MySQL documentation for more info about how to (correctly) use mysqldump and mysql to backup and restore the db.
Mark