For a certain time after the release of Windows Mobile 5.0, I have felt one important piece missing in the usability & security story of all those new devices: the ability to back up your system. With WM 5.0, there is no way to make a backup of your Pocket PC or Smartphone via ActiveSync. True, you couldn't do this for Smartphone before, anyway, but now both device types have persistent storage, so someone must have made the decision that this provides enough protection against data loss, and the feature was cut.
(I know from personal experience that persistent storage isn't quite enough: I once accidentally deleted half of my \Windows folder, after which the system essentially stopped working, as you can imagine. There is no "undelete" on WM, so I had to do a hard-reset...)
The usual alternative was 3rd party backup software - but it took those vendors some time to port their solutions to WM 5.0, so there was quite a long time without proper backup solutions.
Well, those times are over now! Sprite Software has announced the availability of their Sprite Backup software for Windows Mobile 5.0 for Feb 7th, after an extensive Beta period. (I have found the last Beta quite useful and stable.)
Alternatively, there is SunnySoft's Backup Manager which, in v. 3.7, also supports WM 5.0. (My tests with the trial version showed, however, that their standard backup procedure is of dubious value since the app runs as a normal process and can't backup things that are in use, like registry hives and such... But it can at least backup all your data files.)
So, give these solutions a try and decide which is the more useful for you.