In my opinion, I think save data is more important than the system. When you play games, you put huge amounts of hours into them, hours that you can't get back, exploring the games world, collecting items, and growing relationships with the characters of the games world. If your system screws up or is stolen, you can replace that, but if something were to happen to your save data, there's no getting it back.
When my PS2's memory card was corrupted by a faulty demo disc Sony themselves had sent out some years back, I was crushed. Most games on there didn't take up to many hours, but my Final Fantasy X save data was on it. That was the first Final Fantasy I had ever played and it took me a while to be satisfied with all I had done in the game, and just like that, it was all gone. I wanted to bash everyones head in responsible for the screw up.
But like every bad experience, life moves on and I got over it. But with the countless hours I've spent on my PSP, I back everything up as to never let that happen again.
Which do you guys think is more important, the console or your save data?