Your content (music, videos, podcasts, etc.) are in your iTunes library as well as in your iPhone after syncing your iPhone. New stuff you buy on the iPhone is synced back to your iTunes library. This is also true of apps. Therefore, to keep a backup, you need to keep a backup of your iTunes library (the iTunes folder). Also, during sync, your iPhone settings are backed up. This is so that you can restore these settings if you get a new or replacement iPhone.