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if you flash a stock ROM, you will lose photos, movies, SMS etc. that's why, as @KBU2 said, you need to have backups. You need to enable automatic backup and restore in settings, and install one of the SMS backup utilities from the Play Store.
However, if you're installing an OTA (over the air) update from your carrier or the phone's OEM, then you shouldn't lose any data. But still make sure anything you don't want to lose is backed up.
@KBU2, I posted in this thread for @xhazhh87x, Just referencing you in passing.