There are other characters you have to do that with as well.
The only disallowed character is a front slash, since that is the path seperator. You usually have to escape the space, backslash, hash mark (#), ampersand, star (*), parenthesis, pipe (|), semicolon, angle brackets (< and >), backtick (`), tilde (~), double quote, and single quote characters. Keep in mind that you can’t escape the double quote with a double quote, so if you feel the need to make a filename with that character you have to use the backslash to escape it. You can, however escape the backslash with a preceding backslash.
Also, you can use the tab-completion to see how the shell does it. Type in part of a filename and press tab. If the shell can figure out what file you want, it will fill it in. If the shell has several candidates that match what you typed, it will show all the possibilities and beep, prompting you to fill in the rest. If the shell can’t find what you typed at all, it will beep without showing anything. If you do this to one of your space-containing filenames or other special character filenames, you will see where it escapes them with backslashes.