I know I have to redownload all the apps manually, sync all the music and pics through Zune, but what about the save files from games, setting from apps, and text messages. Is there anyway I can transfer those on to Lumia or am I **** out of luck?
Their is an app in the marketplace called "reinstaller" which will reinstall your apps and games. I know their are some homebrew applications which can back up SMS and such ("SMSbackup"). The problem is you need an interop-unlocked device to use these.
I used to think when it synced to Zune, it backed this stuff up and you could plug in your new one and restore it with the old settings. hahahaha. There is a restore on Zune, but it restores it to when you last had a software update. There is an smsbackup app in homebrew, like Nurb said, but you would have to do some work to have that available.
Sometimes I miss WebOS, which would back that stuff all up either online or on the memory that was accessable as a drive on your computer.