You are not supposed to lose paid apps -- the Market keeps track of those for you -- unless they are no longer available in the Android Market. I have one paid app and showed up automatically when I checked "My Apps" in the Market. All my free ones are sort of lost.
I used to use AppBrain
to sync my apps, but I was having problems with it on my phone and have been using the Amazon appstore more often. I haven't reinstalled AppBrain and am thinking I may not bother. Instead I have been searching for any apps I want to reinstall through Amazon and saving them that way. (If they weren't already ones in my Amazon account.)
Since it's a phone -- updated frequently, subject to loss and breakage, etc -- I personally don't spend a lot of time trying to preserve what's on it. The important things -- pictures, emails, contacts, etc -- I have sync'd online or backed up onto the memory card.
As far as I know, there is not a way to save the settings.
I think "factory reset" just resets the phone to the original settings of the OS that you have installed
, without any extra features, bells, or whistles beyond what the manufacturer tacked on. I hadn't considered that before, but I think it does erase what was there before and if you want to go back, you have to find and download the install file for the other OS yourself.