Should I back up my WSUS server?

It sort of depends on how complicated your group layout is and whether you've done a lot of custom approvals/denials for certain groups. It also depends on whether you care about the history and current status of the computers in the database.

If you have a very simple setup where you're just approving all updates and you don't really care about the history of any of the computers, there's no need to backup the database or the updates. It would probably take less time to just re-build the service from scratch (depending on how fast your network connection is to Microsoft) than restore from backup. All of your existing machines will just check in with the new server once it's up.

It's a pretty basic risk analysis for any service. If you have data that would be costly (time or money) or impossible to re-create from scratch, you should back it up. Otherwise, don't bother.

Backuping the database is a small task, and backup up updates is really no point as you would simply re-download them again if you have to rebuild your WSUS server. Most of the updates are already applied anyway.

I backup my WSUS database so that I don't have to write down (or remember) what updates to decline (we have a custom word plug-in that crashes with a certain KB for example).