PHPMyAdmin Notice
I myself don't recommend that you create your database backup from within PHPMyAdmin (or any other web script) as it can take much longer than the aforementioned methods as you're hopping through the webserver to do something that it doesn't really need to be doing.
Another issue with using PHP scripts to create a database dump is that you could end up hitting the "PHP Maximum Execution Time" limit which is usually about 60 seconds... If this is the case, the archive you're presented with will generally not be complete and you'll end up with missing records. This is generally not a problem with databases under 100mb or so; but is still something one would have to worry about.
