Hi,
if you want everything, simply use an external tool to backup your complete "cfg" folder you can find in your
JD installation directory.
JDownloader does auto-backups of linkgrabber list and downloadlist but only keeps the last 6 ones by default so this should not be considered as a "real" backup.
Alternatively you could also just backup your complete JDownloader folder as JDownloader will work fine as "portable" installation without requiring any installation/registry keys (Windows).
-psp-