Not if you do it right:
http://codex.wordpress.org/Upgrading_WordPress
Actually you won’t lose anything even if you screw up.
Have you backed up your database lately?
If you follow the instructions on upgradeing, you’ll lose the security vulnerabilities that were in the older versions!!
Please, Keep this in ONE place.. you already got an answerS going on over here: http://wordpress.org/support/topic/90189?replies=5#post-457424
spencerp
You shouldn’t. However, as a precaution, you should always back up your database and any other relevant files before attempting to upgrade.
There is a database backup plugin (included with WordPress 2 by default) that can help at times, too.