It depends a lot on your use case.
If you're backing up a production database system that's in constant use, then the files are almost certain to change while the backup is in progress. And a backup of everything on the database server except the data probably isn't what you want!
On the other hand, if I'm backing up my personal computer, my family photos aren't getting regularly overwritten - and if the backup of my web browser cache is inconsistent? So be it.