Although the only way to get a complete backup of your HTC EVO is by rooting it, you can backup more than you might have thought was possible without root using RerWare's MyBackup Pro ($4.99) or Sprite Mobile's Sprite Backup 2.2 ($4.95).
Both apps can store backups on an SD card or in the cloud (MBP uses its own secure server, SB uses Dropbox and Box.net) and restore the data to your EVO and subsequent Android phones. In addition to the standard backup fare, the apps will also backup SMS/MMS messages, call logs, bookmarks, alarms, system settings, ringtones, playlists, user dictionaries, home screens, and more.
Both claim to backup more data than any other Android app and there's only a nickel between their prices, so you may need to take advantage of the Market's 24-hour refund policy to decide which one you want to use.
For what it's worth, MyBackup Pro seems to be the more popular choice. You can also try it free for 30 days by installing MyBackup.
Sprite Backup 2.2 ($4.95):
MyBackup Pro ($4.99):
Don't know what those black-and-white boxes are? Use your EVO to find out.