Take a look at the "Lookout" app in the market. It has a backup function in it that works very well.
It also depends on what your "data" is as to what kind of app would be most useful. Are you carrying around a lot of music and video? Most of the premium music apps have a sync functionality.
If you're using a lot of docs or files, you can get a bluetooth file utility and/or dropbox.
Last but not least, you can keep your contacts backed up if you keep them all as google contacts attached to your account. (If you want them to be phone contacts, the lookout app will back those up)
Although you can "mount" your SD card via the USB cable, its not really necessary (at least, not in my experience so far). The Allshare app on your phone will let you do a lot of stuff wirelessly. Dropbox and several similar utilities will potentially cover the other reasons why you'd need to file transfer via USB.