I prefer to turn on ssh access and use it both for file transfer and command line access to do database backups. Most hosting accounts I've dealt with have it turned off by default, so I go into the C-panel and turn it on. C-panel is also great for phpmyadmin access to the database.
All the ftp clients I've seen (filezilla, etc) support the use of ssh, just select port 22 instead of port 21, which is for ftp, and the same goes for terminal clients like Putty.
You have all kinds of options, like opening a command-line terminal session into the server, downloading, unzipping, and editing directly on the server, but it's not really worth it. Besides, downloading it locally, running WAMP to preview changes you make to it, and sending files up means that you have a local copy, and thus at least one backup.
It is a lot easier to do database backups over command-line access. You open Putty, connect your session, and type (or paste it in):
mysqldump -u username -p -h hostname databasename > backup.sql
Substitute in your info, of course, and enter your database password when prompted. Check the server with your ftp client and you should have a new file called backup.sql, just copy it to your local machine and you have a backup of your database. If you ever have to restore it, just send backup.sql up to the server, log in, and type:
mysql -u username -p -h hostname databasename < backup.sql
As long as you have a database backup and a copy of the wp-content folder, you have enough to recreate the whole site. You can always redownload the base install, paste in the wp-content backup, restore the database, edit the wp-config file to restore the connection to the database, and you're back up and running.
Have fun and don't let it intimidate you.