Go to Settings -> Privacy -> make sure "Back up my data" and "Automatic restore" are checked. It will sync your Market-downloaded apps/bookmarks/etc. with your new phone when you add your gmail account.
If you are rooted you could just do a nandroid backup
yeah rooted is best because I did that with my first droid that just recently had serious touchscreen issues as in random screen presses when phone was just sitting on desk.
Anyways, I used rom manager and set it to do backup vs going into clockwork manually which is just as easy really. start new phone, activate, and restore that backup. Had new phone up super quick.