I save initially to the internal HD in my laptop (I don't use a desktop machine). Then I copy to a USB-powered external HD. THEN I copy from there to another self-powered external HD, and THEN again to a further external HD, this time usually a powered one.
This gives me grandfather-father-son redundancy. I don't delete the photos/files from the original memory cards until they are saved in two different places.
For the above process I use a very useful utility called Beyond Compare. It's free to use for quite a while, and greatly reduces the time taken for this process. Particularly as the USB2 on my laptop has reverted to 1.1!
The above is of all data files I have created or saved. I also take a weekly backup image of the entire hard drive using either the Windows XP Pro backup utility, or Norton Ghost (which is better and safer but less convenient). I use Ghost 2003, which is the last "good" version. I'm told that all later versions are rubbish, and knowing Norton's other products I find that easy to believe.
I do this weekly backup via firewire to a powered HD, for speed.
I choose to do basic backups onto unpowered devices because the power here in Belize is very unpredictable and failures are commonplace - often as many a 10 in a day. I lost both versions of a file once when the power failed at just the wrong time, so for me it's laptops and USB-powered disks.
A tip. Don't have all your backup devices connected to your computer, or indeed powered in any way, at the same time. A significant power surge may wipe out all of them at the same instant. It's happened here to several people. Always disconnect an external HD when you're not actively using it.
Another tip. Assume that a laptop hard drive will fail after 18 months. It may last longer, but after that time it's probability of failure increases rapidly. I know business which issue laptops to travelling staff who routinely replace all internal hard drives after 18 months, even if they appear to be fine. A sudden failure is just too catastrophic, and disks are so cheap nowadays.