I would highly recommend leaving the OTA update. Instead, download and install a custom pre-rooted 2.2 ROM.
This one from MoDaCo would be a good choice. Alternatively, check out some of the options on the XDA Forums or consider Cyanogenmod if you aren't so attached to HTC's Sense overlay and would like something closer to 'stock' Android.
You shouldn't lose anything with the MoDaCo ROM, though I found I needed to wipe if switching between Sense and non-Sense ROMs. Check out Titanium Backup if you would like to make restoring your apps easy and always do a Nandroid backup before flashing a new ROM.
If you haven't already, download the ROM Manager app from the market to make flashing ROMs and managing back ups a breeze!