Nowadays distros have release cycle of less that 6 months. Many a times, one can avoid the hassle of frequent upgrades by just installing individual package updates.For instance, if fc6 comes out with a newer gnome, you can still use fc4 or RHEL4, just update your gnome version. Package managers like Yum and apt, make this look easy. In case you don't have any, I advice getting yum first.
I was using RHEL4, which has up2date, rather than yum. Being a student copy, my trial expired. So was manually installing all stuff.The big problem is dependency resolution which is so frustrating. Sites like rpmbone.net, provide some respite but still having a package manager is a must.
fc5 > fc6 upgrade may be smooth, but moving to ubuntu or Suse, will need a full installation, leading to the loss of all your old config files.
My take : If you have a portable hdd, backup all the .conf files that you really need. For eg. httpd.conf, named.conf, xorg.conf etc. I also store all the rpms I downloaded from net to a folder. Once you install a new distro, if it supports rpms, just do :
rpm -Uvh *rpm
and you are back with all your old stuff.