If you haven't done so already, you should make a nand backup of your phone before you load the first ROM. That will give you a 'safe' place to return to, should you ever want to. A nand backup basically takes a 'picture' of your phone, to which you can return to at any point. I believe it was Scary Alien that said it's basically a time machine (which only goes backwards), so you can always go back in time to the point where you made a nand backup.
Titanium Backup on the other hand backs up all the apps on your phone and makes copies of them on the SD card. You can then restore any or all of those apps at a later time. *I* do a complete backup using Titanium Backup every time before I flash a new ROM (I also make a nand backup if I like the ROM I'm leaving, in case I want to go back).
And because I'm really a geek (sigh) most times I also back up my entire SD card to my computer before flashing a ROM, in case that somehow gets screwed up in the process. It's never happened, but I'm ready if it does.

If you're going to back up your SD card, do it after you make your nand and/or Titanium backups. That way you've backed up your backups.
There are probably many of them, but the only ROM I know for sure that uses ADW by default is KaosFroyo. However ADW is available in the Market, so you can download it and use it on any ROM you like - so don't let that limit you when trying out new ROMs.