Just sync to iTunes, it’ll do a back-up automatically. Then, if you have to do a restoration to factory settings, you have a back-up to return it to your current setup. It pays to keep back-ups fresh; I had an issue with mine last week, and inadvertently set it to do a complete return to factory settings. Fine, except my last back-up was February… 😳
That’ll teach me.
As you say, just like Windows! Pretty much anything with a computer in it needs it doing occasionally, my Sky+ box does, and I have it on very good authority that warship radar/sonar systems do, too!