Best bet is probably to read the FAQs/Guides a few times, then pop over to the root forum to ask about anything that isn't clear.
Re. backups there are 2 types, both of which are important:
The recovery ("nandroid") backup is basically a snapshot of your phone's current state: ROM, apps, data, the lot. You make this using the custom recovery which is installed when you root using unrevoked (don't go near an app called ROM Manager). Its most important function is that if something messes up and the phone won't boot, you can restore everything to the way it was. However, you cannot use it to move apps and data to a new ROM.
Titanium is used for that. It backs up apps, data, and system settings to your SD card. In most cases you need to wipe the phone before flashing a new ROM because settings are incompatible, but after flashing you can restore apps and their data using Titanium (not system settings unless you know exactly what you are doing). The Pro version brings a few extra features and is more convenient - I'd recommend it, but it's not essential.
The only catch with Ti is that stuff like contacts, messages, call logs are mixed in the system data. You can restore them, but you need to know where to find them, so other apps (e.g. MyBackup) are recommended by some simply because they are easier for this. If your contacts are stored as Google contacts then they will restore automatically anyway, likewise Calendar if synced with Google.
It can sound a lot when it's unfamiliar, but with a little practice it becomes second nature. Once you know what the different types of backup are for, they are all pretty straightforward to use.