You don't lose your info, music, or movies. Just make sure you follow all the instructions to the letter- so don't 'restore' to 1.1.2 (which erases everything), you upgrade to 1.1.2.
What does get deleted are the 3rd party and iPhone apps you've installed. But any stored data from those apps are retained. For example I re-installed MobileToDo and all my tasks were still there, and I re-installed the Books app and all my books were still there (it even still remembered where I was in different books.)
My mail settings and stored emails were still there too, after I re-installed the Apple apps.