When I want to backup all of the MySQL databases on my server, I have been using this command:
mysqldump --all-databases -u MYSQL_USERNAME -h MYQL_SERVER -pMYSQL_PASSWORD   > mysql-backup-`date +'%Y%m%d-%H%M%S'`
The trouble is that this backs up the DB's all into one large file. That makes restoring an individual DB kind of annoying.

Presence uses mysqlhotcopy to backup each database into it's own file:
for i in `/usr/bin/find /var/lib/mysql/* -type d -printf "%f\n"`;do /usr/local/bin/mysqlhotcopy --allowold -u root $i $BACKUP_DIR; done