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If you want to back up your apps, go to the market and download Astro File Manager. After you install it, tap the menu button on your phone. Press the tools button and then press "Application Manager/Backup". After it loads, tap the check box in the upper right area of the screen to select all apps. Hit the "backup" button on the left side of the screen and all of your apps will be backed up on your SD card.
I copied the file from the phone to my laptop so I always have my apps if the phone becomes unusable or lost.
To restore your apps, install Astro File Manager on your new phone. Menu to "tools", then "backup" like before. At the top of the page will be a tab "backed up apps". Select it hit the check box and then "install". You're back in business.
We just went over why you don't have to do that.