Well look at that. I've been reading AC forever, but never signed up for an account. The cappy finally gets gingerbread, and I finally feel compelled to sign up. Ha!
On topic: Nothing on my phone was deleted ... my home screens even remained intact!
I upgraded from rooted stock froyo. Lost root (no surprise), but still have superuser installed (annoying, since I'm not sure I intend to re-root). I, too, am getting the tethering manager FCs, though it seems to be when I enable Wi-Fi (not when I disable it), and possibly when the phone is connected to my PC with USB debugging enabled. It usually FCs twice, and then stops. I wonder if it is related to my phone being rooted when I did the upgrade. To the other person with the tethering manager FC, were you rooted when you did the update?
To turn on 3G data, its buried in the settings:
Settings-->Wireless and Network-->Mobile Networks-->Use packet data
Thus far, my phone seems snappier overall, and the addition of the unknown sources check box thrills me more than almost anything! (Sad, isn't it?) The menus are now a dark grey color rather than white. The notifications menu is different slightly, as others have noted. Everything seems to be otherwise fine or similar to before. I like the changes in the icons for battery & signal/mobile network. Thus far, I'm happy with the update -- easier than the froyo update & way faster. First boot didn't even take that long!