You wont lose things like photos or other files that are on your virtual sd card. That only gets wiped the one time that you unlock the bootloader. You do have to wipe data from recovery before flashing from one ROM to another. This type of a wipe does not touch your sd card, but it does require you to log back in to your gmail account, download your apps (sometimes this happens as an automated function), and your phone will sync itself to restore all yoru gmail contacts, emails and calendar events. If you use a backup program like Titanium backup, you can use it to restore data from apps that you've installed (not system apps, like Maps, but apps you've downloaded), such as scores from games. It can also restore all of your downloaded apps in a matter of minutes in the event that signing back into gmail doesn't auto download them for you.
If you are running a ROM, you will not get an OTA update, however, most of the time, whatever changes the OTA update contains, have usually already been incorporated into a ROM's update, often weeks before the OTA is released.