A friend of mine just told me that before they jailbreaked their iPhone OS 3, they backed it up through iTunes. I didn't want to ask them, because I didn't want to look ignorant to my friend, but how is that done?

When the phone is plugged into iTunes, on the main page of iTunes for the device you have the option of either backing up to iCloud or backing up locally to the computer. If it's set to back up to the computer, the phone takes a fairly complete backup of the device (not including the OS, just the user data and preferences, app data, etc.) and stores it on the PC.