What should I run off a UPS to protect myself from data loss?

What you run off the UPS is totally up to you and the capacity of your UPS. I don't generally run my notebooks on a UPS but I definitely use one with my desktop as any brief power loss would cause the system to go down without some type of power backup. If you want to still be able to get online when your power goes out, you'll want to keep your cable modem and wireless router connected as well. If you really want to conserve power and get maybe a few extra minutes, you can skip the wireless router and connect directly with your modem via an ethernet cable. The less you have on the UPS, the more time you'll be able to run on battery. Where I live, power outages are fairly infrequent. I'm generally just concerned with having enough time to finish what I'm working on then shutting down.