Google Gears, a Web browser extension, for example, lets you store a lot of Web-based information locally. But, it doesn't work with everything. For more on this and similar approaches I recommend you read my recent IEEE Spectrum story, 21st Century Backups.
And, if I were you, I'd start making sure with any service, for phones or PCs, that offers to keep my information for me online that they also provide an easy, automatic way to keep backups of my files and data locally. As the Sidekick fiasco has shown, you really can't trust anyone to safely save your information.