[davidw]

Before anything is done, regardless, backups should be made - I can't stress this enough. I do daily sql backups and weekly-monthly file backups (as that changes very little). Also, any connections to the database (vbulletin, hacks, etc.) will have to be taken in consideration. If you are switching domains, whether new or existing, you will need all of this information and actual sql/files for the transfer. As long as you have backups of it all, you shouldn't have to worry.
Your emails are tied to that domain account as well. Unless you have total control of that box that the account is on, more than likely you'll lose whatever is not saved (such as your emails - which can be saved by connecting via 3rd party software such as Outlook/OE/Thunderbird). I'm sure there are things I'm not thinking of. And I could be wrong - this I accept to be corrected on.