Transfer of Data from old Iphone 3 to New 4?

Just bought the new iphone 4 and was told all I had to do was take it home and sync it up and all of my data that was housed on the iphone 3 would sync up to my iphone 3.  That didn't really happen.
None of my contacts nor my photos have transfered.  Now what am I suppose to do?

Thanks for such a fast response.  I think I screwed it up.  I thought it would be that simple, however when I plugged in my Iphone 4 to sync, it went thru the motions however it didn't import the correct stuff?  So now I fear that I've deleted the prior back up of my 3 and overwritten it with the stuff on my phone right now.  Is there anyway to find my back up on my computer?  I'm at a loss on how to proceed.  I see all my data on my 3 just won't let me connect back to my computer says no service....

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