Rule #1: You are only as good as your last successfult backup - from which you can recover.
The important part is the last portion of that rule. It applies to the
host, but also to the customer. Never totally depend on someone else no
matter who the host is.
Remembering that, I always keep backups of any files possible. For instance, I use a combination of
www.secondcopy.com and
webdrive
to keep automate backups to my local test server for all my personal
sites. Of course, SQL Server backups are a different story and depend
on what your host allows, what software you have, etc.
One thing to remember if you do change hosts, if that your site will be
temporarily down while the DNS change propagates. Good luck with
whatever you decide.