Good requests, but these are trivial to backup from the registry or file system. Get SASHIMI (see my sig), read its manual, then setup SASHIMI to back all these items up using its INI files.
The OP has a solution for backup up something which is *not* trivial, since the HTC favorites are buried inside pim.vol, a file with almost all other PIM data, in a relatively obscure binary database file format. Backing up and restoring the entire file is not a good idea, since its format may change between ROMs, and you might get problems with duplicates in Outlook etc.
I haven't looked into facebook connections, but the rest of your requests are located here:
Your contact card: HKCU\Software\HTC\People\OwnerInfo
WM owner info: HKCU\ControlPanel\Owner
Weather cities: HKCU\Software\HTC\Manila\Weather.CityList
World Clock cities: HKCU\Software\HTC\Manila\WorldClock.CityList
Start menu/Programs panel: HKLM\Software\HTC\Manila\ProgramLauncher
Yes, but it would be so much better (from a user standpoint of course) to have them all backed up and restored from one app/click.
Also, please add tf3d stockmarket settings to the list.