I was looking into changing my HDD, Im confident about the physical changing of the HDD but wondered how I back my stuff up?

Also what backs up?

Game Data Utility?
Save Game Data?
Downloaded games?
Music?
Photos?
PSN ID and trophies?

Or do I have to patch and download everything all over again?

Your PSN is there no matter what, it is not data, it's in their system so don't worry about your PSN, stats, trophies, etc.

It backs up all your savedata, gamedata too I believe, music, photos, videos, etc.

So you go to the main system settings and select back up, and then you have to insert something you want to back it up on, like an external HDD, memory sticks, etc.

Then do the swap, and select restore backed up data..

No I believe it keeps the game data utility AND the save data utility.

If not, oh well, not that big of a deal really, just install the data again when you play the game again.

No that is a patch, into your PSN ID what you have boughten. Don't worry about that, i was talking about the installs in the beginning of some games.