How big is your database? Do you have SSH or Telnet access to your site? If you do, I would recommend PuTTy to backup your database.
Another way to backup your database is through the backup feature of cPanel, or using a third party script such as mysqldumper
Whatever you do, do not use phpmyadmin to backup your database, especially if it is over 50 mb. They are known for time out during backups of large databases, and a lot of hosts place a limit on how many mb can be downloaded via phpmyadmin on their servers If you do, check out the backup to make sure that it is done properly.