? Brand New phone, same iTunes: How to transfer without losing apps/music

In preparation for a new device, is it possible to transfer all your apps, music, bookmarks from iTunes to your new device without losing your apps/music, etc?  If so, how?  What are the steps involved?  For example, if you have an iPod Touch and want to "clone" the iPod Touch to your new device, say iPhone or another iPod Touch?
Are there any limits in transferring paid apps to multiple devices? How does one do this?
Thanks in advance.

Thanks Niel, I did this once before and so did others that I know. Guess what happened?  We lost all our data on iTunes. Fortunately, I kept a backup of my iTunes folders.
I want to prevent this from happening again.  I believe there is a "special" sequence one must follow to ensure this does not happen or was this fixed in future versions of iTunes?.

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