Put another way, only an encrypted backup will save your passwords, Wi-Fi settings, website history, and Health data.
While all iCloud backups are encrypted, doing an Encrypted Backup in iTunes requires a couple of simple steps. Here's how:
First, connect your iPhone to your Mac or PC. Secondly, sync it. You don't technically have to before backing up, but I believe in syncing your iOS devices. So do it just because Fake Uncle Bryan said so.
In iTunes, click on your device in the upper left corner. It will default to the Summary View, as shown in the screenshot below.
iTunes Encrypted Backup Screenshot
See the handy giant red arrow with matching label? Be default that check box isn't checked. If that's the case for your device, check the box now. If it's already checked, you've probably been doing encrypted backups all along and can keep on keepin' on, as the kids say.*
If you're checking the box for the first time, you will be asked to type in a password for your encrypted backups through a popup window like the one shown below:
Enter a Password. Twice. Make it the same one both times.
Once you've entered it twice you can click the Set Password button. When you click the Back Up Now button in the first screenshot, your Health, Activity, and Keychain data will be backed up with it. that will come in handy if you need to Restore from Backup.
Happy iOS 9ing!
*That is what the kids say these days, right?