Honestly, very rarely. Never had an instance of needing a backup but my paranoia makes me backup every now and then. All of music is ripped from CD's I own, all my films I have on DVD, and all my games are either on my shelf or downloaded through Steam, so I'd lose little if my PC did go kaput.
I've heard more than a few horror stories through my three years here at DMU, though, some of my friends have lost all their work days before deadlines. So the moral of the story, kids, is that backups are your friends! The more important it is, the more frequent you should backup! :D