This is true. When I upgraded from the original iPhone to 3GS, everything carried over. Apps, app state, recent calls, text messages, the digits that were on-screen on the calculator, and even the stopwatch I started as an experiment kept going from where it was.

And with iCloud and iOS 5 from earlier today, I fully expect that my iPhone 4S upgrade won't even require plugging in to sync, since it backs up and restores online instead of to my computer.

In contrast, I was trying to fix a problem on my Nexus One (Android), and I was halfway through the (incredibly difficult) process of restoring it to factory condition before I realized I didn't have backups. All my mail and contacts are synced, but I lost all the text messages, apps (I have no idea what I had installed, and Google only remembers the paid ones), and app data.