Boooo!!! Windoze XP reference...
Really, just kidding
Most of your 'settings' are saved in your user's home directory as . files. So if the application you wanted to save settings for is gaim, then you would backup the .gaim file in your user's home directory. To make things easy you can backup everything there, but make sure that all versions of your old software are the same (or similar) as the old ones