I have an iPhone 4 now and I just got the iPhone 4s so how do I backup all my data from old phone to new?

I have  the iPhone 4 and just upgraded to iPhone 4s how do I backup my data before I activate my iphone 4s? Please help!!

iOS devices are designed to be sync'd with a single computer, so thinking of future updates, backups and so forth, yes, it would be best to do it on your computer - the one you normally use for iTunes.
Note that backing up also does not backup everything in iTunes.  Contacts, for example, will be backed up into whatever contact management program you normally use on your computer (eg. outlook on a Windows PC, contacts on a Mac).
If you have never backed up your iPhone, now is the opportune time to do so and learn how.  Not having a backup means if anything goes wrong with your phone (or you loose it or it is stolen), you risk losing everything on it.

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