A MySQL database is what many applications and programs use to store important information. In the case of a WordPress blog, all your posts, comments and options are saved in your WordPress database, therefore it is of the utmost importance to backup this database. If you were to restore your blog without this database you would essentially be starting from scratch. (The only thing of importance not stored in the WP database are your themes.)

To backup any of your databases, just click on the database backup link listed on the Backup page in your cPanel. The database backup will automatically start downloading to your computer, where you can store it in a safe place.