More important -- well, except maybe for the lost data issue -- are the 43 security fixes. They range from improvements to OS X Server's Adaptive Firewall's ability to detect attempt to guess passwords, to buffer overflow vulnerabilities related to Common Document Format files, to multiple heap overflows in Subversion. (The full list is here.) Don't know what any of that means? Don't worry about it. Just choose Software Update from the Apple menu and let your Mac take care of downloading the update itself. Or, if you prefer, get the update from the Apple Downloads page here.
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One additional note: as was widely rumored on Apple blogs last week, this update apparently will not work with the Intel Atom processor, the processor used in some popular netbooks. That means that anyone who turned their Atom-based netbook into a hackintosh -- i.e., hacked the non-Apple hardware to run OS X -- should avoid this update, at least for now. Hackintosh fans expect that someone will write a workaround for whatever it is that 10.6.2 does, but that remains to be seen. There will be some manufactured outrage about this "high-handed" move by Apple, but it's hard to take too seriously complaints that Apple hasn't maintained support for hardware it explicitly tells you not to use. And it's an example of what I've said before, that hackintoshes are fine for hobbyists but no one should be running a business on one.