The database, the encryption key, and the Terraform state.
Three things, and the second one is the one people miss.
back up
docker compose exec postgres pg_dump -U talos talos > talos.sql
cp .env talos-env-backup # contains ENCRYPTION_KEY
# Terraform state, if you manage cloud infrastructure through Talos
docker run --rm -v talos_terraform:/data -v "$PWD:/out" alpine \
tar czf /out/talos-terraform.tar.gz -C /data .
A database backup without ENCRYPTION_KEY is unreadable — every SSH key, cloud credential and database password in it stays encrypted under a value you no longer have. A lost Terraform state file orphans real cloud resources that Terraform can then neither see nor destroy.