Have you had specific problems with this? Many ROMs will work fine when updating from one version to another. For example, the instructions on CyanogenMod's forums (taking the EVO as an example) say:

Upgrading from earlier version of CyanogenMod 7?

1. Perform a NANDroid backup of your current ROM.
2. Flash CyanogenMod (your Google Apps will be backed up & restored automatically).

Specifically they're referring to a case such as upgrading from say 7.0 to 7.1. The NAND backup is just in the event that you want to roll back or something goes wrong, but in reality you could even consider that optional (though highly encouraged).

Again taking CM as an example, you usually only need to wipe your phone if you're going from one major version to another. A good example would be if you're going from an Android 2.2-based ROM to an Android-2.3 based ROM. This is because there are some significant changes under the hood to Android, and is not really related to the specific ROM itself in most cases. The exception to this is typically carrier OTA updates since they specifically tailor them to play nice with the previous versions (end users wouldn't want to wipe their phone for every OTA, obviously).

Have you had specific problems with this? Many ROMs will work fine when updating from one version to another. For example, the instructions on CyanogenMod's forums (taking the EVO as an example) say:

Upgrading from earlier version of CyanogenMod 7?

1. Perform a NANDroid backup of your current ROM.
2. Flash CyanogenMod (your Google Apps will be backed up & restored automatically).

Specifically they're referring to a case such as upgrading from say 7.0 to 7.1. The NAND backup is just in the event that you want to roll back or something goes wrong, but in reality you could even consider that optional (though highly encouraged).

Again taking CM as an example, you usually only need to wipe your phone if you're going from one major version to another. A good example would be if you're going from an Android 2.2-based ROM to an Android-2.3 based ROM. This is because there are some significant changes under the hood to Android, and is not really related to the specific ROM itself in most cases. The exception to this is typically carrier OTA updates since they specifically tailor them to play nice with the previous versions (end users wouldn't want to wipe their phone for every OTA, obviously).

Edit: Just to clarify, what I mean by the above is that CM won't wipe your /data partition (or /cache, I believe) on its own, as described here. It will also backup Google Apps and reinstall them to /system during the update. You can wipe /data manually from your recovery or ROM Manager, but you certainly don't have to. I have read, though, that using ROM Manager to flash an update will automatically wipe /data. There may be a setting for this or this may not be exactly true - I am not sure because I do not install my ROMs this way (I boot into recovery and do it manually).