You can probably keep your SD card, meaning you won't have to back anything up. But just incase, what you will want to keep is the nandroid backup(s). SPRecovery creates them in /sdcard/nandroid/ and Clockwork recovery creates them in /sdcard/clockworkmod/ These folders may be capitalized, my wife is addicted to FrozenBubble so I can't look at the exact names of the directories. hehe
You can just take those folders off of your SD card to your PC. Then when you get your replacement, place them back on the SD card > root the new phone > restore backup or something along those lines.
Personally I back up my nandroid backups on my PC anyhow, just in case something goes wrong with my phone, like say it goes swimming without a life jacket. The SD Card and phone may both be destroyed in that adventure, but if I get the replacement phone, I still have my backups.