The common wisdom for PC backups is you need three copies of your files: the active copy on your hard drive, a local backup, and a remote backup. When it comes to games, the rules are no different.
If you're a Steam user, Valve takes care of the remote backup portion since you can re-download purchased games from Steam at any time. But it also pays to make a regular local backup of your game files—especially since game downloads can be utterly massive.
To be clear, this is about backing up the actual game, not your game progress. If you want to make sure Geralt of Rivia doesn't have to start over at White Orchard, check out our earlier tutorial on backing up your PC game saves. (Many Steam games automatically back up your saves using Valve's Steam Cloud service, but not all of them.)