You can store data almost anywhere, especially when you don’t have much to back up. However, the storage medium you choose determines how quickly you can go from a server crash, and lost data, to being productive again. The best storage medium allows you to store large amounts of data, but also makes recovery quick.
For instance, DVDs may be convenient and inexpensive, but they’ll prove to be rather difficult to manage once you have terabytes of storage to maintain. Hard drives might make sense in such a situation, especially if you are looking for redundancy in your backup solution.
What is best really comes down to your own specific needs.