If you have the HTC 8x then there is a link in the backup settings that tells you what gets backed up. For reference purposes it's basically this link
Back up my stuff | Windows Phone How-to (United States)
But the summarized info is this:
-Backups get stored on a Microsoft cloud system.
-New backups made will replace the previous backup
-There are 3 backup types (App List+Settings, Text Messages, Photos and Videos)
-App list+settings will do the following
*It will backup what apps were installed but it will not backup the application data (so it will reinstall the application for you, but it will not restore any application data from that app)
*Phone settings (things like: call history, theme color, accounts setup on your phone, internet explorer bookmarks, lock screen. Photos implies contact images)
*Personal music and custom ringtones on the phone does not get backed up (found this out after I restored my phone last night, a backup had been made before doing the FDR)
*Call records get backed up
*Windows Live ID contact list might get backed up (Not 100% sure since I use my own exchange server for these kinds of things, but if call records get backed up then contact list might)
-Text Messaging
*Backups of SMS and MMS messages (it will restore what messages were present at the time the backup was made)
-Photos and Videos
*Photos and videos taken are copied to Skydrive (but you have to manually delete any photos/videos from skydrive if you do not want them anymore)