Wordpress - What is a better way to backup files than FTP?

I recommend rsync. It only transfers what has changed since your last rsync so subsequent updates are very fast, and it works over SSH. Sample usage in crontab:

# backup rsync from example.com every morning
14 3 * * * rsync -az example.com:/var/www/example.com/htdocs/ ~/Backup/example.com/

The -a flag preserves many aspects of the original file (ie. symlink vs file) and -z compresses the transfer. There are some potentially confusing rules about trailing slashes on directory names, but the above example would put everything inside htdocs/ on the server into example.com/ on the local machine.

If your local machine is a Windows box, you can install rsync via Cygwin.

(assuming that FTP is slow due to amount of files) I use SSH to remotely give command to compress WP directory in single archive and then fetch that file.

On Windows this is relatively easily scriptable with WinSCP ( scripting documentation ).

This method greatly speeds up transfer, makes it secure, requires no plugins server-side, timestamps backups and is easy to schedule or launch with single click.

(assuming FTP is slow in general) I would suggest to research backup plugins that can email backups (although size can get restrictive) or upload them to file storage service.