Fortunately for you, Microsoft will be helping you move some of that data into you Windows Live SkyDrive account. But Microsoft won’t be moving every single file for you; just your contacts (csv), calendar items (ics), text messages (txt) and photos (jpg, jpeg, gif, png, tif, fit, wbmp, bmp, opl, n3a, ota). Videos, music, documents and favorites (everything not mentioned) will not be moved for you so you’ll have to back them up yourselves.
Microsoft has put up a detailed post about the shut down and a guide on how to obtain your files and move them. It looks like the doors are closing for Windows Mobile. First it was the app store, and then now this. I guess its time for users to move on to Windows Phone or a different operating system.