It depends on why you're backing up your data.
The cheapest and probably most reliable solution is to mirror two hard drives. They run concurrently, but your system only uses one. Everything you put on one is mirrored on the other automatically. If the master fails, you put the other one as the master and replace the mirror. If the mirror fails, you replace the mirror. The chances of 2 hard drives failing at the same time is very slim, except in the case of fire, flood or being stolen. Of course if you have a fire, flood or some other terrible act, your external HD probably got destroyed/taken too, and so did the 60 DVD's you just burned. With the plummeting price of hard-drives, you could replace 2 hard drives for the same price of an external HD.
Add up the total cost of a DVD burner and 40-60 DVD-RW's and see how many hard drives you could buy for that (or better yet, how many of the actual CD's you could have purchased to have a permanent and legal back-up of your data).
In my experience, the failure rate for external HD's is much higher than the failure rate for internal HDs. There are a lot of factors for this, but most often it's their portability that leads to their downfall.
The other nice thing about mirroring is that it's automatic. You don't have to do a weekly back-up - every time create a file, you have a spare copy on the mirror. With the external and DVD solutions, you have to follow a regimen to make sure that your back up is current, and be certain that you got everything. Not a problem with mirroring.
If you do decide to use the External HD or DVD option, for god's sake, please don't store them in the same location as your data. 70% of the time you lose them both at the same time.
For the record, I now mirror 2 150 GB hard drives after going through 3 external hard drives, 2 of which I never took with me anywhere. It's been a year now and haven't had to replace either internal hard disks (knocks on wood).
