This is a topic that should be brought up, PS I got my Lumia 900 today and love it!!
I kinda messed up on putting the wrong Live ID on my phone and thought oh, i'll just back everything up and restore it with the new one, well, not so simple.
First off, you can't natively backup SMS Messages on your phone, now this doesn't rule out that you can't but it's harder to do so, i'll explain a bit later on.
Let's start with the basic questions and answers on what actually is backed up.
First i do want to point out and this is very important that the first computer you hook your phone up to is the primary computer, if you hook it up to others they will have guest priveleges only, which in essense means the primary will create a backup, guest won't.
So, what does Zune backup?
- Applications (Although you might have to redownload some)
- Pictures
- Music
- Videos
- Documents
- System Preferences such as the lockscreen, wallpaper, et cetera
- Email and Social Networking settings
Now for SMS Backups, i didn a little research and you can use a Homebrew Application called SMSBackup. First, you need your phone unlocked (this is what i don't want to do so i think i'll just delete my messages and live with it)
To unlock your phone, use the link below in which you can use Interop Unlock to try it out (Can't guarentee results and do it at your own risk)
Interop Unlock: xda-developers - View Single Post - [GUIDE] INTEROP-UNLOCK for MANGO - No 0x81030120 (Samsung/LG/HTC 1st gen)
And if that doesn't work try WP7 Root Tools:
WP7 Root Tools - Unleash the power of Windows Phone
Once you've done that, head over and download SMSBackup using the link below:
[XAP] SMSBackup V0.8, Extract SMS From Store.vol, Support MSN [Updated 2012-04-29] - xda-developers
I'll edit this page when needed to fill in some more info if i ever do try it myself

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but i'm assuming either Tango or WP8 will have it
