This is one area where Windows Vista performs much better than Windows XP - it gives you more options, like to be able to skip any file that already exists when copying. (As well as giving you a fairly accurate estimate of time remaining, unlike every previous Microsoft OS.)
That alone isn't enough to justify Vista, though.
If you're backing up photos straight from the camera, it should be fairly easy to find the highest number on the external drive, and grab the ones since then.
If you're renaming photos and adding more to existing folders and such, then you'll want to use a stand-alone program which can compare folders. There are many, I usually use one called "ViceVersa" which is a free download. With that, you pick a source folder (the pics on your internal hard drive), a destination (the external drive), and make sure that "use subfolders" is checked. (In the first drop-down, I think.) It'll compare, then you can tell it to update target, or update and prune, or whatever you want.
There are certainly other programs that work as well and probably some that work better or at least look prettier, but it works well for me so I've stuck with it.