Mostly savings (ugh), but also Roth IRA. If you open your Roth IRA early enough, you can draw down the principal without taking any hit (see http://www.cnbc.com/id/101323957). It's a little tough because you can't contribute directly from any part of a graduate student stipend that doesn't count as earned income (even taxable fellowships may not count as earned income). But I will use savings first as necessary and dip into that if I have to. So I'm doing "saving for retirement" and "saving for a year without a fellowship" at the same time.
In humanities at my school we're guaranteed five years, and then we aren't forced to graduate when we don't have jobs lined up, much like TakeruK, but we aren't guaranteed continuing funding or work either. If a round of fellowship applications goes badly things can get difficult fast. Luckily I'm now assured of a sixth year of funding and I'll have another chance to apply for some fellowships before things run out, but who knows.