Your apps are backed up with the Gmail account you used to set up the phone. Go back into the market after setting up your phone and they will be under..my apps.
Some of your free apps may not be listed.. for those you will have to search for them again. Paid apps will be listed.
Look into an app called MyBackup Pro for backing up all your apps, home screens, bookmarks, sms messages, call logs, etc.. or even Astro File Manager lets you backup the apps apks.
If your rooted.. you can backup apps + app data/settings.