Gacxx,
I am a (well, was) a Microsoft person through and through (although not Windows Mobile - hate it!) and this iPhone is my first foray into the world of Apple (well, actually I have a Mac Mini as a media centre, but that doesn't count). Anyway, I have been very impressed with how well iTunes syncs with everything (Outlook Calendar, Outlook Contacts, etc) and is able to backup pretty much everything on your iPhone.
When I first got my iPhone I unlocked/activated and jailbreaked it on 1.1.2 ... and I started to use it (adding appointments, adding contacts, music, videos, etc.). Then I backed it up/sync'd it using iTunes, did a complete restore back to factory settings, and upgraded to 1.1.3 with an unlock/active/jailbreak again. When finished, re-sync'd and restored data using iTunes and *everything* came back. Impressive.
Give it a go ... you'll be fine!
M