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Most distribution provide upgrade path. This is distribution specific, not standardized. Ubuntu and derivative have a button on top of the update-manager application. Aptitude or apt-get dist-upgrade also work, but are not advised anymore. Arch and Gentoo have rolling release, so new packages are made available just as regular security/bugfixes updates. Some distribution also have "offline" upgrade using the CD/DVD.
As with all upgrades, including Microsoft Windows, always backup your data, there is always a possibility of something going wrong in the process.
For may Linux distros it is possible to upgrade without loosing all your data. Your question is difficult to answer without specifics, though. Which distro are you talking about, and what version are you currently running?
I am not a BackTrack user, but I understand it is in many ways an atypical distro. If they support release upgrades, it is probably documented on their website and/or forums? Don't follow instructions for Red Hat or Fedora! There is no "one size fits all" solution for every distro.
... In this way, the data present in the system may get lost !!!!
Regardless of the way your distro performs an upgrade to a newer version, you should have backups. So I'll second snowpine's "There is no chance of your data getting lost if you have good backups"
What would you do if you experience a HD crash or wipe files by accident? Or your machine gets stolen?
PS The fact that one might have terabytes of data is no excuse not to back it up; as my signature states, your data is not important to you if you don't make backups. Let's add here that you should also verify your backups if you're serious about it.
Your experience is, unfortunately, somewhat typical: many Ubuntu users find a fresh reinstall is less buggy than a release upgrade.
My 6.06 to 8.04 went smooth Then I started playing with snmp (installed some stuff from the repos) and when it was time to upgrade again, it went wrong with those packages. Warnings occurred that the system might be unstable which was basically an understatement