I updated my iPad OTA in my office at work and lost nothing at all. However, I did backup and sync with iTunes in the morning at home, in case something went bad.
What you should do anytime that you update the device is to transfer purchases from the iPad into iTunes - File>Transfer Purchases - and you should backup the iPad as well. When you update the update the device, if something goes wrong, you can restore from the backup.
However, iTunes should ask if you want to backup before you update, but just in case create the backup yourself before you update. The backup contains your app data and settings - along with other items - so make sure you backup first.
If you have any other important files, you may want to transfer them to your computer as well, prior to the update.
Transfer purchases.
http://support.apple.com/kb/HT1848
How to backup and restore from a backup
http://support.apple.com/kb/HT1766