as was said,this is indeed your bootloader.
the screen with this menu is known as "hboot":
FASTBOOT
RECOVERY
FACTORY RESET
SIMLOCK
IMAGE CRC
this screen is where you can flash files by remaning PxxxIMG and placing on the root of your sd card. hboot will find such files and ask if you want to update. PxxxIMG is specific to each phone,for examble the incredible is PB31IMG,the thunderbolt is PG05IMG. if your bootloader says "s-on" at the top,you are limited to files approved by htc,as s-on is "security on". if you have s-off,you are free to flash whatever you want,but this is risky. flashing the wrong file,or a corrupt fine in hboot
CAN easily lead to a bricked device.
selecting RECOVERY on a stock phone will take you to a screen with a triangle and ! you will prolly have to pull the battery to get back out. this is the inaccessible stock recovery(selecting this option on a rooted phone would take you to a custom recovery where you can flash roms,make backups,etc). FACTORY RESET is just that. it will erase all your data and restore factory settings. SIMLOCK has to do with your sim card being locked to a particular carrier. there is nothing you can do with it without special files and an engineering sim card. that last one i honestly have no idea what it does. im sure nothing that would self destruct your phone,but id prolly not select it,nonetheless
pressing FASTBOOT takes you to the sencond menu:
BOOTLOADER
REBOOT
REBOOT BOOTLOADER
POWER DOWN
this is "fastboot" and is a part of the bootloader where commands can be entered with ADB. with a normal, s-on hboot,your list of commands is very short. however,if an "eng s-off" or engineering bootloader exists,then using it can give you a vast selection of fastboot commands.
fastboot is particularly useful in recovery situations,where you have no custom recovery,and no OS to boot to
youve pretty much figured out what all those options do. youre pretty safe using power down and reboot in that menu.
people are right to casution you about messing with hboot and fastboot if you dont know what youre doing,but with an s-on hboot theres not much you can do to mess it up.
as BC said,your data is safe. data,settings,user installed apps,etc. are all stored in /data,wich is a hard memory partition,just like /system, /boot, /recovery etc. since this isnt flash memory,it shouldnt matter how long you leave the battery out,your data will be there,just like the OS will be. wed all be in trouble if leaving the battery out would casue the phone to forget its OS
anyway,hope that helps clear up what youre seeing. prolly more info than you needed
