When you do a factory reset you lose all the apps you have installed and any data associated with them, such as game progress. You'll also lose personal data and files such as contacts, email, documents, and settings. Basically your phone will be just like it was when you opened the box, except it will keep any software updates installed since you first got it.
You can backup most of your personal data and settings and a list of your apps before you factory reset by going to Settings/System/Backup. You can then restore them after the reset finishes.
Make sure you copy all documents, files, and music from the phone before resetting, otherwise you'll lose them.
The phone should be plugged into a charger when you reset or be sure you have at least 50% charge. You'll also need a good data or WiFi connection to restore everything after the reset.
When you're ready to reset go to Settings/About and you'll see 'reset your phone.'