To clarify (in case it's not already) - if your phone was originally a branded (02, orange etc) phone then you would, in the past, have received branded ROM updates once released by your provider (if they ever did.....). Creating a GoldCard allows the phone to accept a ROM which is destined for stock, unbranded HTC phones, ie one which has not had all the orange/o2 crap put on it.
Ideally this should also mean that as future updates are made available from HTC you would get these too, as if your phone had always been unbranded. However the last update from HTC did not work on phones with goldcards. No-one (as far as I know) knows whether this is a one off or deliberate. It is possible to apply the new version of the ROM to the phone, but only by using a Rom Update Utility (RUU) which will end up wiping the phone of all apps, user data etc.
Now to us rooted types, wiping the phone is no big deal, as you just restore apps from Titanium etc, however as far as i know this full backup is only available to rooted phones. For those who only debranded and want to keep up to speed with the latest update, this is a big pain as it means downloading all your apps again each time you update the ROM. In the end this was why I rooted, to get full backup authority and to go and explore the world or ROM's.
The suggestion is that if you do really mess up, you might one day find yourself with a semi-bricked phone. At this point the last resort option is to find a stock RUU for your phone and run it. This will (hopefully) restore your phone to life, but at the cost of putting you back to unrooted, and losing all your apps and data, but hey, your phone works again!
You need a goldcard as branded RUU's can't be obtained (as far as I know, certainly Orange ones can't), so the only chance you have is to fool the RUU into thinking you have a stock HTC phone and run a stock HTC RUU. For this, you need a goldcard.
To answer your other question, you need to restore apps+data. It's system settings you don't want to backup and restore.
Also having downloaded LeeDroid 2.3d to the SD card, before flashing it you might want to do a full system wipe, and dalvik cache wipe (from advanced options). Going from sense based ROM to sense based ROM this might not be needed, but it often helps and anyway, you're fully titanium/nandroid backed up now right?
Good luck and enjoy!