bitcoin-qt

• open the File menu
• click Backup Wallet...
• select a file to save the backup as

MultiBit

From http://multibit.org/help_backupWalletUsingPrivateKeys.html:

You can export your private keys from a MultiBit wallet into a file (using the 'Tools | Export private keys' option) and, as long as you do not manually create new receiving addresses, you can use the private key file as a backup for the wallet.

Armory

From http://bitcoinarmory.com/index.php/start-page/what-is-armory/features:

Not only are the wallets determinstic, but there is a built-in dialog for printing permanent copies of your wallet. When you first create your wallet, make sure your printer is on and click the “Paper Backup” checkbox.

Electrum

From http://electrum.org/:

You do not need to perform regular backups, because your wallet can be recovered from a secret phrase that you can memorize or write on paper.