By default when you connect your iPhone or Touch to your Windows PC the device will sync with your iTunes. The sync not only synchronizes certain data as described below but it also does a backup of data stored on the iDevice as well. This backup will allow you to restore most items back to your iPhone or iPod Touch if something happens to the data located on that device. Knowing the location of this data can be important in case you want to also take that data and make another backup off of your computer.
iPhone/iPod Touch Default Backup Locations: