After my intial displeasure of having to wipe everything (hard reset) from my Windows Phone, the experience to get everything back was much smoother than I expected and although I know about Windows Live and contacts I also learnt about some new features too. The fact that I lost all my text messages is still not great but I think a feature to back these up in the cloud would distinguish Microsoft from other players.
As Nar points out, it's not a perfect restore (my personal bug bear is that you lose your game save data, and the groups you make in the People Hub) but it's not that frightening. Yes it could be imprvoed, and with SkyDrive and cloud access it really should be a bit more automatic and friendly, but you do have some help.
What we need now is a first-party application, like Reinstaller, that handles everything, backs it all up over the air (when we ask it to) and does either a full or a partial restore. Like we used to have on our PDA's.