For IE there is a easier way. Go into XP's Documents & Settings. Go under your user profile. There you will see a folder called Favorites. That is your IE Favorited. Jsut copy that folder to another drive/partition that will not be affected by the format.
After you install Vista just take that folder and copy it back to this location:
C:\Users\<username\Favorites
Your IE Bookmarks will be completely preserved as they were in XP. You oculd use the Import and Export Wizard. But this is much simpler.
Firefox use the link that carnageX gave. Trotter and myself have used that method to preserve Firefox from install to install without losing extensions or anything. It is really simple and effective.
Azureus i am not to sure on. But if it is anything like µtorrent go into C:\doxuments and Settings\<username>\ area. Go under application data. Find the Azureus folder. Copy that whole folder to a separate drive. Once in Vista, install Azureus and run it once. This will setup the data folder.
From there copy the folder from XP to this location:
C:\Users\<username>\appData\Roaming\
and find the Azureus folder. Just copy the content from the old folder to this one and it should copy your settings as they were.
Do you mean Google Chrome? Or what aspect of Google are you looking to copy? If it is just your online stuff, that should be kept on the server and you would just have to log in.
As for the backup feature. I would look into a 3rd party solution. FOG or Clonezilla or something. Cause the backup and restore within Vista is still lacking. I have seen more errors come from people trying to use that then using a 3rd party solution.
I see you said you didnt keep the old IE stuff. So you will have to use the Import Wizard within Ie to get the bookmarks from another source. I wrote up a guide a while back on how to export Firefox's bookmarks...
Mozilla Firefox Export Bookmark Guide - NeoSmart Technologies Wiki
That will allow you to easily just export the bookmarks to a file then import them again. But IE has a default setting to just import them from Firefox so it wont be needed.