You shoulkd backup everything you want to keep. Next!
Just kidding. Back up Favorites, e-mail, Game saves, documents, music, pictures, etc. Anything of value to you. You would know better than we. Still not sure what you need? Browse through every folder and look for stuff. Don't save programs - you can (and should) reinstall those.
I keep an Installs folder, a Patches folder and a Drivers folder on my computer. Keeps all that stuff centralized in case I ever need it again.
Also make sure to write down any settings you might need, such as your SMTP and DNS server addresses.
Finally, I find it helpful to pop into Device Manager and write down the EXACT name and model number of the devices in my computer. For example, when I reinstall, if Windows detects an unknown NIC called "Ethernet Card", I can find and install the correct driver.
Hope this helps.