Well, if you "Reset All Settings" and choose to Setup the iPhone as a new phone, it will still keep all of your information. The only reason it asks if you want to restore from a backup or setup as a new phone is to give you the option to restore from a backup; most people don't want or need to do this so I recommend to Setup as a new Phone. It doesn't change anything on the phone.
Note: the only time you wipe information on your phone is if you choose to Restore the phone in iTunes or choose "Erase All Content and Settings"
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Once again, choosing "Reset All Settings" and "Setup as a new Phone" does NOT alter the information (Music, Photos, Videos, Third-party Apps, Contacts, Bookmarks, Notes, etc) on the phone in any way. It only changes preference files for the "Settings" application.