>From http://dev.mysql.com/doc/mysql/en/backup.html

"Do a full backup of your database:

...
shell> mysqlhotcopy db_name /path/to/some/dir

You can also simply copy all table files (*.frm, *.MYD, and *.MYI files) 
as long as the server isn't updating anything. The mysqlhotcopy script 
uses this method. (But note that these methods do not work if your 
database contains InnoDB tables. InnoDB does not store table contents in 
database directories, and mysqlhotcopy works only for MyISAM and ISAM 
tables.) "

I suggested mysqlhotcopy because it may have some options that make it 
easier for you, depending on your situation.  But copying the raw files 
will work just as well.