If you have iTunes configured to automatically sync when your iPhone is connected, it will begin transferring data from your iPhone to your computer. This is an important step, as it will transfer any new content that you've added to your iPhone, including songs and apps that you've purchased and pictures and videos that you've captured to your computer.
If you do not have it set to sync automatically, you should manually sync it now. You can start the sync by pressing the "sync" button that appears in the bottom right corner of the iPhone "Summary" tab in iTunes.