There are apps for that, even computer software (Wugs Nexus Toolkit). Titanium backup used to be the most popular but I've seen a lot of good things said about Helium. For me, all my important docs and photos are synced to the cloud with Google Drive, so I don't worry about those (although I do copy my photos over to my PC anyway). I use SMS Backup and Restore to backup my text messages. Music I have stored on my computer anyway, so that's easy enough to copy back. And apps.... well, the remainder of my app data usually isn't important enough that I worry about loosing it. After I install a ROM I just let Google Play restore my apps, copy my music and photos back, and then log into my apps again.
Titanium does do a good job of backing everything up, if you do it app by app. Batch backup (for me) seems to fail or improperly restore more then it works properly.
Once you've got a backup file either through recovery or another app, make sure you copy it to your computer just in case!
If you do try a new ROM you will have to do a factory wipe from within your recovery. Make sure to follow the exact steps that the developer says to do -- otherwise bad things can happen.
Final note: There are many many ROMs out there. Each one is unique, each one is different. Some are based off of CM (which is based off of AOSP). Others are based off of AOKP. Some are very stock looking and feeling, without a lot of customization available. Others allow you to tweak almost anything. The top 3 (in no order) seem to be CM, AOKP, and PA (Paranoid Android). Personally I like the AOKP becacuse it has a ton of customization, but it's slightly less stable and more resource hungry then CM. CM is stable, fast, but lacks some customization features of AOKP. And PA generally doesn't stay on my phone very long. I just personally don't see the appeal of it, but many others love it and will use nothing else! I guess my point is to make a "clean" backup, before you do any changes. After that as long as you've got a good backup, flash ROMs to your heart's content. Try stuff out and keep track of what you like and don't like....
If AOKP could build their ROMs as stable and easy on resources as CM, I think that would be PERFECT for me.