Saving your game is crucial to avoid losing progress. In A Link Between Worlds, you can save your game by interacting with Weather Vanes scattered throughout Hyrule and Lorule. These distinctive structures act as save points and also allow you to quick travel to any other Weather Vane you've activated. Simply approach a Weather Vane and press the A button to initiate the save process. It's always a good idea to save frequently, especially before entering new dungeons, challenging boss battles, or after completing significant objectives.
Upon saving, the game will record your current location, inventory, and progress. If Link faints, you will respawn at the last Weather Vane you saved at. This system encourages exploration and provides a safety net, but remember that not all areas have readily available Weather Vanes. Plan your routes and consider saving before venturing into particularly dangerous or unknown territories. Utilizing the quick travel feature of Weather Vanes will also save you a lot of time traversing the expansive world.