Hi,
Did a firmware update from JF3 to JG4 and all has gone smoothly except for a few irritants which I wish I knew earlier. So hope this "Task-to-do-before-updating-your-Galaxy-S" helps.
1. Backup you contacts via Kies. It can thankfully restore it from PC back to your mob without any issues
2. Backup you SMS's using SMS Backup and Restore or some other Android app. Kies CANNOT restore your SMS's from PC to mob....Grrr

... and I tried looking for a format converter to convert from kies .sme format to xml but no luck. Thankfully i had an older backup but i have lost a good bit...
The data backup should be in /sdcard/SMSBackupRestore i.e. on your internal 8/16gb storage
A bit of ranting - personally i think Kies is a useless crap program. It seems to be good only for backing up contacts and firmware updates. And it really makes me miss Nokia's Ovi suite. Despite all the other faults of nokia sw and hw this was one really well integrated package that exemplified ease-of-usage esp with backup and firmware updates. But i digress...
3. Backup all your other imp data via other means onto you sd card or onto the web (calendar sync with gmail, colornote, pics, music, videos,etc)
4. Copy all this data backup and any other data that you want to save from your 8/16gb internal SD storage as well as external microSD Card to your PC via Mass storage mode.
5. I did a complete (umount and) reformat of my internal 16gb and external 23gb microsd card. I dont think this is strictly necessary but then there was quite a bit of app crap lying about so thought it best to start with a clean slate.
Note that to connect to Kies it seems that one has to unmount the internal sd card. In my case i had to do both int and ext before things worked. In any case I had backed up all data before hand.
Finally start the firmware update via Kies ....
Just a few points I observed about the firmware and its after effects -
- all my previous apps disappeared . Was expecting this but when i first tried the App Market I found that the download list displaying my previous app list and AT THIS POINT I could install them. However when I subsequently closed the app market and reopened it the download list only showed my currently installed apps.
- the update did retain my mob network settings and data (egde/3g) settings. however wifi access points, bluetooth devices were lost
Things are running faster but then these are early days...
HTH