Easiest way would be to just copy the entire server directory.
Next easiest would be to just copy the MySQL directory (also a lot smaller without the maps, dbc and vmap directories)
Last would be to use sqlyog and use the backup functions there to create sql dumps of the tables.



If you only do a partial backup make sure you reinstall them back to the same version of the server or make sure you know how to update the tables to match a later version.