You will need to recompile all modules that come seperate from the kernel, and any programs that are kernel-specific (if you have any).
It's a good idea to remove custom modules entries from modprobe.conf. You can leave them in modules.conf though. (2.4.x uses modules.conf, 2.6.x uses modprobe.conf.) Infact it's probably an even better idea to uninstall them altogether, if they have an installer (such as nvidia drivers), and then reinstall/compile them after the kernel upgrade.
You will definately want to update LILO, so edit your lilo.conf and make the corrections necessary. After editing lilo, make sure you re-install it with the "lilo" command. Oh and yes, check those symlinks.
As for everything else, any new config files should have ".new" appended to them, so you can use slocate to find all the .new's and then go through and replace the old ones with the new. Hopefully you don't have too many custom tweaks in those config files, so you don't have to re-write (or copy) too much from the old file to the new.