Read this before rooting:
[Exclusive] How To Root The HTC ThunderBolt And Unlock Its Bootloader | Android News, Reviews, Apps, Games, Phones, Tablets, Tips, Mods, Videos, Tutorials - Android Police
This is what I found the most helpful before flashing:
[GUIDE] Rom Manager/Clockwork Mod The Effective Way When Flashing Custom Roms. - Android Forums
Email/contacts/calendar are backed up to your Gmail account. Titanium Backup should back everything else up, but I haven't used it myself.
There is a google backup assistant that you log into when you first setup the phone that backs up bookmarks and I'm not quite sure what else.
Was never a fan of Sashimi, as it took me no more than 15 minutes to get everything else back the way I wanted it.
Clockwork recovery will basically back up your existing setup intact in case of a problem.
I loved Cookie, but kind of useless on Android. You can basically customize it any way you want out of the box and I just happen to be a big fan of Sense.
Hope this helps