This is what *I* backup regularly:
Settings - all settings for Joystick, radio, video, head positions, favorites etc etc
ahiiterr - all terrains you downloaded at one point
Skins - All skins you downloaded so far, instead of a backup you can also download the newest skin pack from HTC homepage
Sounds/Sights - only make sense to back up if youre using custom ones
Films - all the films you recorded
screenshots i took