Problems with Parallels and backing up with Time Machine
Parallels have instructions here for making their software (version 6 or later) work better with Time Machine. You can either optimise your VMs for Time Machine backup, or disable backup for them.


  Parallels Desktop for Mac includes improved integration with Time Machine. 
  When backing up the virtual machine, it will only backup the recent changes (the latest snapshot), but not the whole virtual hard drive.
  Thus, the backup process will take less time and use less space on your Time Machine storage device.
  
  To enable improved integration with Time Machine, please go to Virtual Machine Configuration, choose Options and hit Backup.
  
  Select "Optimize for Time Machine" in SmartGuard menu.
  
  If you do not want your virtual machine to be backed up by Time Machine, you need go to Virtual Machine Configuration --> Options --> Backup and put a checkmark on “Do not back up with Time Machine”.




In Parallels 7 the control panel looks like this:



Note that when you enable this feature, it will take up more space on the disk. Also, Auto Compress will be disabled.