If you tell iTunes to upgrade your iPhone from os4 to os4.versionupdate (example)...
Does iTunes automatically back it up before attempting upgrade?
my phone is currently in recovery mode - and I don't know whether it backed up or not (you rookie!!!)
EDIT I have browsed to the back up folder, i.e.
C:\Users\<MY USERNAME>\AppData\Roaming\Apple Computer\MobileSync\Backup
There is a folder with todays date:
\a6fbdb939e60771c51f18a68a41e8e0e2d230dcc - would this be the backup done before attempting software upgrade?