Depends what you're trying to avoid. A mirrored RAID will largely protect you from a HDD failure but not agin a virus attack or something else that legitimately, in the eyes of your BIOS, says 'format C:'. External backup gives you more security but more work doing regular copying.
The paranoid amongst us may have a mirrored RAID in the machine and make a regular external copy of those important files.
Can't tell you anything about Linux I'm afraid.