I hope this isn't seen as rude, but the previous reply to this is simply wrong.
First: the backup utility included with Windows NT and Windows 2000 Server can indeed backup Exchange databases, completely and reliably. When you install the Exchange Administrator program for Exchange 5.5, the native backup is updated so that it can perform online backups of Exchange. An online backup means you will get a complete backup of the database without taking the database offline. An online backup is the supported method of backing up Exchange.
Second (and perhaps most important) NEVER, repeat NEVER, use any Open File Option (OFO) on Exchange. Not only is it unnecessary for a complete backup, it can (and probably will) corrupt the database, transaction logs, etc.. OFO may be OK for a file-by-file backup of a file server (though I haven;t had good experiences with it) but it is bad news with Exchange.
There are some features you gain with third-party products. I've used Veritas with success, and you may find its features, such as enhanced performance over networks, to be worth the price.
Here's a good Exchange FAQ that covers many aspects of administration:
http://www.swinc.com/resource/exch_faq_sec3.htm