Finally got my first Windows Phone 7 update – everything went smoothly.  Only a few things that would have been helpful to know:

The update backs up your phone first… so it can take some time, and it requires the equivalent amount of disk space on your PC as you have loaded on your phone (i.e., if you have 10GB stored on your phone, you need to have 10 GB of free disk)

The back up is located at: C:\Users\<User>\AppData\Local\Microsoft\Windows Phone Update  (replace <User> with your account ID).  For those of us who constantly run up against storage limits no matter how much disk space we have, it’s useful to know so we can archive it off our primary devices – especially if you have multiple phones, like me)

So far, no issues… and one thing I have noticed: app loading and local storage operations seem SIGNIFICANTLY faster… makes the whole device seem like it got a huge boost.

I found good information on the update at these links:

http://windowsteamblog.com/windows_phone/b/windowsphone/archive/2011/02/21/our-first-windows-phone-update-and-how-to-get-it.aspx

http://blogs.msexchange.org/walther/2011/02/22/first-windows-phone-7-update-hit-my-device/

If this is any indication of the improvements we’ll get with small updates – I’ll be waiting with bated breath in anticipation.

-Dan