As far as i know you can backup some data using Microsoft MyPhone or the Zune software. Based on my last information (late 2010) a backup of your sms (text message; is sms used in english?) is NOT possible. Microsoft is limiting the software access thus a third party tool can not add this feature.
IMHO: This is basically a bad joke. How can they not offer a full backup solution and at least an data transfer toolkit für windows mobile 6.x users?!
there is a backup system, its not myphone though, that is for WM6.x devices, the team have been working on a WP7 version however.
anyhow, calander and contacts can be synced with live services or by your email account, your music and photos/documents are all synced with zune, the only thing that isnt is your text messages.
i agree a one stop shop would be great, like myphone, and im sure it will be here soon, i heard that development had stopped on myphone so that they can work on a new version for WP, we shall have to see.