Use Tweetake To Back Up Your Twitter
The interface is dead simple: enter your Twitter username and password, select what you want to back up, and press Get 'em! to release the hounds.
Within a few seconds Tweetake presents you with a CSV file containing all your valuable messages. Tweetake grabs the sender's name and screen name, their location and description, timestamp, and the tweet text, along with just about all the other info that Twitter stores.
How many of you back up the files on your PC regularly? I'd wager the number backing up online data (like Twitter) is even lower. Play it safe, and back up your tweets!