Sure iTunes can back up and restore some data on your iOS device, but it's not so great at backing up your third-party apps.
Using iPhone Explorer, you can backup or copy apps (and their settings) to your computer or to other iOS device—and it can do all of that without a jailbreak. To backup system files or default applications, like iOS's built-in calendar, you'll have to jailbreak your iOS device. (Even if you're not interested in backing up apps, iPhone Explorer is still great for mounting your iOS device as a disk.)
Now more convenient, you can simply backup or restore necessary third-party apps without hassling with a full backup and sync to iTunes.
For more details on the app backup and restore process, see the How-To Geek's post.