Backups and iTunes
Every time you sync your device with iTunes, your application data and settings are backed up to your computer. There is a good article from Apple about how this works – see http://support.apple.com/kb/HT1766. However there are pitfalls, and it is easy to lose things.
The main issue is that only one backup is stored per device. You can see these in iTunes by going to iTunes->Preferences->Devices (or on Windows, Edit->Preferences->Devices). If you delete an application from your device, then do a sync, your backup will be overwritten and your data lost. Also if you have to restore your device completely and you set it up as a new device, your first sync after the restore will overwrite your previously backed up data.
There are a couple of things you can do to prevent this data loss. First of all is to make sure you back up your backups! These are stored in your home folder, under Libraries/Application Support/MobileSync/Backup (or on Windows XP, \Documents and Settings\(username)\Application Data\Apple Computer\MobileSync\Backup\ and on Vista, \Users\(username)\AppData\Roaming\Apple Computer\MobileSync\Backup\). To manually restore a backup, copy the one you want into this folder, then in iTunes, right click on your device and select Restore from Backup…
Secondly if you have to reset/restore your device completely, make sure you don’t set it up as a new device. Always select the restore from backup option.
To do a manual backup from iTunes, right click on your device and select Back Up.
If all of this sounds scary, there is a better option available in each of my apps (free in Account Tracker, and as an in-app purchase for Hill Lists and Meter Readings). The Backup and Restore feature is essentially a more reliable way of backing up and exporting your data than iTunes itself. Should the worst happen, it is very easy to import and restore this data.
For more information, please browse the application pages.