Have an External HD
This is SO incredibly important. Unfortunately it’s still something people blow off. Go to Fry’s (I don’t recommend Best Buy, they are overpriced) and get a small external HD no less than 1 TB and have your computer automatically back up every night. Some people use cloud services to back up files. This is probably a better bet since external HDs can go bad too but do you feel save with your important files and documents online? (even though they probably already are before you get them)
Keep your Media Files on the External HD
This is the best option for several reasons, media files eat up a TON of space and you can set up iTunes and other media software to save files to your external drive for everyday use. In addition, if someone steals your computer, hopefully they will leave the external HD, you will still have your media files. For those of us who work in the music industry who have uploaded thousands of songs to our hard drives over the years, you can only imagine how painful it would be to lose all that information and it can happen. I would suggest getting something small like the one pictured and keeping it concealed, chances are if a thief is going to steal your computer, he will most certainly disconnect everything first.