When you plug in your iPhone and click 'backup' in iTunes, here's what happens.

The first time you run it, it will copy a bunch of files (your contacts, texts, etc.) into ~/Library/Application Support/MobileSync/Backup/ on your Mac. It will create a folder with a long, random name. (Mine is 4980dcc09ff7069aaea0d8b33f26b7ccff55686f.) If you use multiple phones with one Mac, The files are also randomly named, like 0a2bd25e8e7419e9e839cf247c5e73e17f1b6b02.mddata.

When you run future backups, new data will be added. Old files will be overwritten if their counterparts on the phone has changed. (Or, at the very least, the old versions will be ignored if you do a restore.)

What this means is, say you do a backup on the 1st, then you accidentally delete a text message on the 2nd, if you do a backup on the 3rd, that message will be gone forever. If you want to backup your backups, copy the whole long-named folder to a safe place and give it a descriptive name. If you ever need to restore your phone to any state than its most recent, just move the current contents of the long-named folder to a safe place and put the ones you want to use in there.

Of course, Spotlight in 10.5 and 10.6 will automagically back up your backups, but there might be thousands of files in that directory which would make restoring somewhat tricky. It's best to just have the whole batch stored in one place somewhere safe.