Backing up is often done for you by System Restore. Depending on how often you turn your computer off, the default setting is for System Restore to backup certain system components approximately every 24 hours. However, you can also manually create a restore point whenever you wish and it's a good idea to do so whenever you make a system change. Details of how to use System Restore are in an article at my Computer Education site. Those who make frequent changes to their system may wish to download one of the little scripts mentioned there. Put the script file on the desktop and making a restore point is just a double-click away. Another way to enable quick creation of restore points is create a shortcut as described at this link. One drawback to System Restore is that it doesn't provide a convenient way to back up just the Registry or parts of the Registry.
Registration (REG) files
I have previously mentioned REG files in discussing the use of the Registry Editor. Although the entire Registry could be be backed up as a REG file, this is not practical. However, REG files provide a convenient method for backing up individual subkeys. REG files have the advantage that they are easily copied to backup media. Remember that REG files are in text form and create merges when they are imported back into the Registry proper.
Here we have to deal with a bit of Microsoft jargon. A key with all its subkeys and values in binary form is often called a "hive" in Microsoft literature. Why the term? "Because one of the original developers of Windows NT hated bees. So the developer who was responsible for the registry snuck in as many bee references as he could." So says Raymond Chen (who should know).
When using the export function of Regedit, one of the options is to save an exported key as a hive file. Being binary, a hive file can't be read like the text-containing REG files but it has an advantage for backup. When imported, it restores a key exactly as it was and does not simply merge as do REG files. Hive files also are more appropriate for backing up a large key with many subkeys. For example, I use a hive file to back up the entire HKEY_CURRENT_USER and store it on another disk.
Of course, software that backs up the entire disk such as Microsoft Backup or imaging programs back up the Registry along with everything else, There are also some programs that are designed to make Registry backups. One commonly used free utility is ERUNT (Emergency Recovery Utility NT). Among paid commercial programs, Macecraft's JV16 Power Tools gets high marks.
There are many programs that claim to do wonderful things by "cleaning" the Registry. That is, they prune out dead or corrupted entries. Some are better than others. Some are even dangerous. Back in the days of Windows 95, I was an advocate of regular housekeeping for the Registry. However, the Registry in Windows XP is far more robust and much less prone to corruption. Those who install and uninstall a lot of software and/or those who tweak the Registry a lot may find it worthwhile to do regular Registry maintenance, For ordinary PC users I feel that the Registry needs this type of maintenance only infrequently. The program mentioned above, JV16 Power Tools, is a good choice for this task. Another possibility is CCleaner. However., ordinary PC users should probably just avoid cleaning the Registry. It's too easy for the wrong thing to be removed from the Registry. See this discussion.Speed Up Your PC: Optimize Your Computer's Performance in 3 Mins!