There's a very simple way, without worrying about phpMyAdmin, although it does do snapshots.
There's a WordPress plug-in, WordPress Database Backup, which you can find and download from the WP site, that will do this more or less automatically. Version 2.0 added that feature, along with automatic emailing of the file to you.
It used to be bundled with WP, but isn't any longer, effective with version 2.1.
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