The last few times I upgraded my mobile device I used Jeyo Mobile Companion, which backed up my data to an XML file instead of the cloud. I actually prefer the file saved to my desktop over having every text message stored online, but Mobile Companion costs $19.95 and requires the device to be tethered to your PC to run.
The My Phone service is free and the Web-based management console is easier to use than searching through a huge XML file. My Phone also performs scheduled wireless synchronization, which means that if your device is ever lost or stolen you have a backup of all your data through the last synch (mine runs daily.)
There are also several premium features which allow you to ring, lock, or erase your phone and view its location on a map from the My Phone portal. There is a one-time charge of $4.99 to use this functionality, but you can try it free through November 30, 2009.
Whether you use My Phone or another third party solution, use SOMETHING! Nobody wants to re-enter all of their contacts each time they upgrade phones.

