You will lose everything not on your SD card, meaning your phone goes straight to stock and you'll have to reinstall every app, game, tool, launcher, etc...
Gonna be a pain in the butt, but I guess I'll make a list of the apps and stuff i use and just redownload them all when I get Froyo.
It's OTA meaning Over The Air, it's where a mobile carrier like AT&T in this case sends out the update directly to your phone through 3G or wifi if you're connected to a network. If the update is OTA you keep all your apps and stuff, if you have to get it through Samsung Kies, then you lose everything.