If you don’t know, or aren’t sure. Backup everything if you have the space. Once you’ve hit a couple of disaster scenarios, it will become apparent what stuff is really important.
Obviously, the stuff you can’t recreate otherwise is most important. But apart from that, even the stuff you can recreate from other sources might be worth backing up because of time savings. E.g. faster to restore from backup than to recreate.
Back when I was still using Gentoo, configuring your own kernel was a rite of passage. It was kind of fun to try and configure it as minimalist as possible to cut down on the kernel compile time. Also, understanding all the different options and possibilities. And thanks to use flags, you had access to all these different patch sets for the kernel, which took a lot of the pain out of trying things like experimental schedulers or filesystems.
Windows, in the past has been known to sometimes overwrite the Linux boot loader after a windows update, so be careful with that, since windows assumes no other os exists in the universe. Depending on your windows version, it might not be a bad idea to backup the license key. Recent versions store your computer’s information in the cloud, so unless you change a lot of components, it should reinstall without much hassle. But it doesn’t hurt to extract the key just in case. Microsoft gonna Microsoft. There are tools for this. E.g. jellybean key finder (or something like that).
Depending on the distro, it might help to disable secure boot in the uefi bios.
That being said, take it one step at a time. Don’t try to recreate everything you were doing in windows right off the bat. Get comfortable with the desktop first. Try different apps for certain tasks. If you have an Nvidia GPU, the experience can vary greatly between different distros. As others have mentioned, most distros have a “live environment” on the installation cd, which you can test to see if your hardware is recognised straight away. That being said, don’t feel like you’re married to a specific distro. Most Linux users will distro hop quite a bit, before they settle on one that just feels right. And even then they might change again after a while, if they get bored.