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It looks like mine is going back for exchange tomorrow. Once I fire up the new one and enter my gmail accounts/passwords/bookmarks will all the apps and settings be reloaded?

I did notice that if you go to settings>privacy, there's an option to "back up my settings". I haven't tried it but maybe this will save your settings such as ringtone, notification settings, etc.
Maybe someone else can elaborate?
I use Astro to backup the apps.
just fired up my new one, my apps, contacts, etc were there, but no settings. which pretty much sucks
Correct
So you didn't do the back up in your phone but your apps were still there on the new phone just cause you have a gmail acount?
The apps will not magicly appear on your phone.
You will have to re-download them.
Go to Market - downloads and there they should be.
How do they get on the phone ?????
They have to be downloaded to the phone.
Just lie when you do a factory wipe of your phone. You have to re-download the apps.