You can manually back up your game files through ssh, but iTunes does that automaticaly when you sync.
@pokefreak2008: you don't lose any data if your device is tethered and you turn it off. You just won't be able to turn it on without another program.
^ Do you mean APTbackup? If so, that only saves a list of installed Cydia apps, not your regular apps.
i got one called app backup cuz a friend of mine told me about it and i saved all of my angry birds data with it before i had to reinstall it because it waz messin up A LOT and eventually never booted up