Your photo albums are saved but your camera roll is not. You will need to transfer your camera roll photos to your computer first. If you have a Mac, you can use iPhoto to import them, or if you have Windows, you can access the camera roll as you would if you connected a digital camera. Go into My Computer and you will see your iPhone listed as an attached camera. You can then transfer the photos that way.
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iPhone, the Swiss Army knife of the 21st Century.