Is there any other way then buying those apps that backup your data to their websites? Is it as simple as plugging your phone into your computer and copying all the files to your pc?

Its the 3rd time all my data has been erased and its starting to get on my nerve.

I use Titanium Backup to backup my apps, SMS Backup and Restore to backup my SMS messages, and ROM Manager / ClockworkMod Recovery / Nandroid to do full phone backups. They're all free apps, but your phone has to be "rooted" to use them.