Well, if you're living entirely in the google cloud (as I am), and have sync enabled and turned on, your settings/contacts/apps are already being backed up in the cloud. So, if you do a factory reset, it will sync all your stuff after you log in to google during the activation. Just make sure you leave your phone alone until it's done. If you go to the market, for instance, before it's done, it will interrupt the app downloads. Make sure that data backup and automatic restore are enabled in privacy settings.
This only works for apps that were installed through the market afaik, but it seems to save the settings/data of manually installed apps, you just have to install them manually again.
It's kind of flakey, but it works for me 9 times out of 10.
Beyond that, you have to wait till the phone is rooted to really backup anything manually. Titanium Backup is probably the best, but again, only works on rooted devices.
