All is not lost, however, even if you haven't backed up. When your computer crashes, some data, if not all, may be recoverable without going to an expensive data-recovery company.
On a Mac, try running a program called DiskWarrior, expressly created to recover data from a failing or crashed hard drive. I've used it for myself and friends, and it has pulled us back from the brink of despair nearly every time. It literally builds a new, replacement directory from your "lost" files as it scavenges your hard drive to find your folders and documents. It doesn't attempt to repair the drive, and, important to note, it won't recover your software. You'll have to reinstall or repurchase those programs. But the musical you spent the last two years writing or scanned pictures of your first play are not so easily replaced, so for $99.95, DiskWarrior is a bargain.
On a PC, try Kernel for Windows ($69). Like DiskWarrior, it's designed to find and rescue your files. Or check out SpinRite (free to try, $89 to buy), which works a little differently: It examines and repairs defects in the hard drive, then attempts to recover the lost data. In other words, it's more of a repair than recovery solution.
In all likelihood, you won't immediately know why your computer crashed or what the underlying tech issue is. If you're on a Mac, though, recovering files is simpler than on a Windows PC. Assuming you can still turn the computer on, simply restart it while holding down the T key. This sends the computer into target disk mode. If you connect it by FireWire cable to another Mac, that Mac will "see" your computer as if it's an external hard drive. Then you can drag your files to the second computer (or another hard drive). (Go to support.apple.com/kb/ht1661 for complete instructions.) Alas, I know of no comparable solution for a PC.
Bottom line: Buy an external hard drive. They're cheap, and they often come with software that automates backing up your computer without you having to remember to do it. Or choose an online backup solution, like Carbonite ($54.95 a year), which also backs up your data automatically. Or my favorite free solution: Try to keep as much of your data as you can off your computer. Upload your pictures to Facebook, Flickr, or Picasa (all free), and use Google Docs for your writing, so it's automatically saved on Google's servers.
Then you can stop kicking yourself. It's so indecorous.