The most important file is EEPROM.bin you can use evox to make a backup or ConfigMagic. Make sure you save that, plus anything that you want to keep(music, games, etc.)
The C and E are also important but slayer's disc has retail versions of those. You can get it from the usual places, or doing a search on google should bring up some results. You can burn it to a disc, and that way you always have those files, plus a collection of emus, apps, and BIOS, so it's a good thing to have on hand.
Basically, that's it. The EEPROM can help if you need to setup a HDD on your PC, including locking/unlocking(especially for a softmod - the HDD HAS to be locked.) Or want to upgrade to a bigger HDD.
I think that's it so far, just post back if you need more help!
DSLTech_Dude