Under Settings->Accounts & Sync are all the apps that will sync when allowed, either when Auto-sync is turned on (and under each listed app you can set how often they do their business) or when using the Sync All widget.
Sync All just does a single 'cycle' through all the apps that are allowed to update and refreshes them, which is more for someone who isn't as eager to get emails or see facebook updates the second they are posted. Just a nice way to ensure all your links are updated when going for a coffee or a smoke. (That is, when you actually have time to read the updates.)
Just personal preference.
-Jim
