OK, so now that I have my phone...I guess I will answer my own question.
I set up my phone initially...then decided to get the 8GB card from Samsung (works fine, by the way). I needed to insert the card which requires a complete phone reset.
Your data (pictures mostly) is backed up via Zune...nothing else is - but there's not much else, really.
To restore your phone, go through the setup routine, re-create your email account(s), wireless, bluetooth and general settings like color, ringtone, etc. Then go to the Marketplace from your phone (won't work via Zune), and you will be notified of applications to be downloaded and/or updated. These will include the apps that you purchased. The only downside that I've seen (besides taking a little time - though not much, really), is that you lose any progress that you made playing games. Fairly minor.
Since your contacts and email etc. are from your Windows Live account (and possibly other email accounts), you really can't lose anything.