You will mostly just lose things like the recent project list, loaded plugins (not the actual plugins, they;re just have to re-load) and customizations that you did not save. Things like workspace layouts, keyboard customization and effects presets can all be saved explicitly so you won't lose them Also, in CCS you can utilize sync settings to preserve and share most of your prefs across systems and up to new versions.
I agree they deleting prefs is a very common troubleshooting tip. I often suggest it (and to it) myself because it's so easy and low risk. But almost as common, and usually more effective is deleting your media cache files, which can often solve strange display behaviors. Especially if you actually delete them (from the root) as opposed to just cleaning them (from within the media prefs dialog). Note though that if you are going to delete them all at some point, you do so at your own risk because it will make all of your cache files have to re-generate.
Software Quality Assurance - Digital Video at Adobe Systems