I believe the only things that are stored client side are your macros and config settings. I know when I first started going between PC and PS2 I had to set my chat filters, colors, windows, etc again, and retype all my macros. Everything (or almost everything) about your characters though is saved on the server (to prevent cheating).
I have never personally done this, but I would guess there would be config settings files created for each character name (because they dont carry over between different characters on the same account).
I would look for a file in the playonline directoy named after your character to backup.
Also IIRC there is a keystroke to save your macros to a backup-type file. I cant search on it, but it was posted not too long ago (possibly in the "things you might not know" thread).
I remember someone saying you could backup 4 full sets of macros using some hotkey(ctl-shift-alt-m or something similar) and if you needed more space, you could rename those files and backup again.
You dont have to worry about losing anything really important, but you could save yourself a little time by looking for these. I hope this helps.