A utility from Microsoft, the Easy Transfer Wizard, can aid in backing up important things that Microsoft knows about. This, of course, doesn't handle other programs, but it does capture everything in Application Data, it seems.
As the accepted answer mentions, check out where game save files are stored, because if they aren't stored in a typical place, you'll lose them. (I lost my Torchlight save files when installing Win7 recently, oops.)
To build off of James' last point, if you keep programs/games on a separate drive, you won't be able to migrate their registry entries to a new install -- some programs will run without their registry entries and recreate them on first run, but others will be corrupted and require a reinstall of the application. Games can usually be run just fine, but even then there are some which will need a reinstall.