It is a good feeling to have a backup when things go wrong. When setting up a monitoring system, it is a good idea to spend some time to figure out how backups could be made so that the good feeling is not replaced by a bad feeling. With Zabbix, there are components and data to be considered:
Zabbix binaries: Such as the server and proxy agent: They're probably not worth backing up. Hopefully, they're easily available from packages or by recompiling.
Zabbix frontend files: Hopefully, they're easily available as well. If any changes have been made, they're presumably stored as a patch in a version control system.
Zabbix configuration files: Hopefully, these are stored in a version control system or a system configuration tool.
Zabbix server database: This contains all the monitoring-related configuration data, such as hosts and items, and it also holds all the collected values. Now that is worth backing up!