Simple answer: No.
iTunes remembers what applications you have purchased, so that if you do try buying them again, it will instead let you redownload them for free.
If you sync your iPhone in iTunes before restoring, everything will be backed up onto your PC / Mac so that you can simply restore all of the data when the new firmware has been installed. No data loss and no App loss.
Be warned though: 2.2.1 upgrades the baseband of your iPhone to 2.30.0, and this is not unlockable with YellowSn0w. To unlock your iPhone after the 2.2.1 upgrade, you either have to revert back to the old baseband via an app in cydia (search fuzzyband), or get a 2.2.1 firmware version which doesn't upgrade the baseband.
Obviously, I recommend the latter, but incase you can't find custom firmware, there is an alternative.
