There are no real downsides to rooting and loading custom ROMs as it can all be reversed to stock one way or another. The thing that worries most people is the operation of installing an alternative radio and the Engineering HBOOT. In installing these it is possible to permabrick your device. However so long as the correct tools are used and the phone is charged sufficiently enough this is nothing to worry about and the guides available on here are sufficient enough.

Then as far as the process deleting all your apps and the internal storage, if you follow this guide to root (if you have already upgraded to Gingerbread) http://androidforums.com/desire-hd-...b-build-downgrade-1-32-405-6-easy-follow.html and follow the commands to use Titanium Backup. You will be fine and be able to keep everything app related. You cannot damage any internal software by rooting and/or installing a ROM because rooting and installing a ROM is replacing it completely.

For your first ROM I'd recommend LeeDrOiD as its close enough to stock that it won't alienate you but with a great many tweaks and additional features to experiment with. Then once your comfortable with the process of flashing ROMS go ahead and try MIUI and/or CM7. I supply everything you need here: http://androidforums.com/desire-hd-...ks-leedroid-arhd-miui-updated-03-09-11-a.html as well as a full walkthrough from the minute you're perm rooted with ENG S-OFF and Radio S-OFF. Having followed the guide above.