The choice will always be yours subject to cost.
Depending upon file size you could use CDs, DVDs, memory sticks, a second drive in your PC (provided it`s not a laptop), an external drive or even online storage.
Personally I prefer to keep my data at home, so I use CD/DVDs and an external drive. CDs & DVDs are relatively cheap so you could make several copies if you wanted and lock one in a fireproof and/or theft resistant area (like a safe).
An external drive is good because you can backup the whole of your PC data (including the OS) so in the event of catastrophic failure you can reload and be up and running again quickly.
There are many threads on backing up on this site which you may like to browse. You will also need some backup software if you intend to make regular backups of your drive(s); I (like many others here) use Acronis True Image which comes highly recommended.