Keep the SD card when you return the phone and put it in the new phone you get.
Contacts: You contacts are constantly synced with the Google account associated with the phone so there's no need to back those up.
Media: Pictures and Movies should be stored on the SD card which you will keep.
Apps: You can back them up to the SD card with a 3rd party app or sign up for appbrain which syncs with your phone and keeps a list of all the installed apps. You can then reinstall them right from Appbrain.
Settings: Theres no way out of the box to back up phone and app settings.
Other: There are a number of free apps in the market that backup particular data like you SMS messages, your call log, your apps...
Total Solution: There are a couple apps out there that claim to backup and restore the entire phone. I actaully had the same exact problem you are having back in January with my Droid. I used a free version of MyBackup Pro back them but I'm sorry to say I can't even remember if it worked. Its worth a shot but use caution, it seems to have some mixed reviews.