Wipe data/factory reset erases everything on your phone but not the sd card. You will want to move whatever you want to keep to your computer (pictures, roms, etc) before you reformat your sd card. Then you can move it back.

 

Yep, Bobcat has it right.
Also, if you've moved any of your apps to the SD card then you'll want to move them back, otherwise they won't work correctly after you wipe the SD card.
Then the next time you boot your phone it will put the files it NEEDS back on the SD card, and you can copy from your computer those items you want.

 

We are talking xtrSENSE here, so there will be no apps on the SD card (even if WinnieThePwn set up apps2sd on xtrSENSE, that stores them on a partition on the SD card that would be untouched by the format.)

If you created any Nandroid backups, do yourself a favor and copy that folder (Nandroid) to your computer before you format, and then copy it back. Also, any photos that you take are stored within a folder called DCIM, if you want to save that. Since you are using xtrSENSE, you probably also want to save the Gscript folder, which has some useful configuration scripts that you may want to have around.

The rest depends on which apps that you have - some store data on SD, but most of that is more cache and will repopulate when those apps open again.