It depends to some extent on what your current setup is.
The NTL CD will install IE5.5 and OE6 (unless you already have IE6), so you may notice some subtle differences in these programs. The one thing that catches most people out is that the new version of OE is set to automatically block attachments that could contain viruses - these is easily changed by going to Tools > Options > Security.
Your favourites should not change. You will not be able to send or receive from your BT account, as they will close your account when you stop paying them money.
I presume that you are making regular backups of your data anyway, but it is always sensible to make a backup of your important data before carrying out this sort of installation.
Your Favourites are stored in an ordinary folder called ..... Favourites. Just make a backup copy of this onto floppy or CD.
If you open Outlook (or Outlook Express, whichever you use), go to File > Export, you will be able to make a backup of all your mail, contacts, appointments, rules etc.
On a more practical note, make sure the engineers have got a clear path to run the cables through the house, and can actually get at your PC. Make sure there is plenty of tea and biscuits available. They are invariably quick, tidy and professional.