Here's some ideas/workarounds (or the answers). Bookmarks are the trickiest.
Web Browser Bookmarks
Option 1 (if you are into jailbreaking, I'm not):
http://kindle-bookmark-editor.appspot.com/
Option 2: Create your own 'book', which just so happens to be a bunch of links to web pages. Keep that in Calibre; so if you update it, you can update it and re-send it to your Kindle.
Option 3: Leverage a bookmark web site. I happen to use
http://m.delicious.com/MyLoginNameAtDelicious. That way, the only bookmark I need to recreate is just that 1.
Personal Docs
Option 1: Backup the entire contents of Kindle:\Documents
Option 2 (if you have Calibre, this is what I do): In Calibre, after you connect your Kindle, if your Kindle doesn't have a check mark next to a personal book in the column for "In Library", use Calibre to copy that personal doc from your Kindle to your Calibre Library
mp3
Backup the contents of Kindle:\Music
Periodicals from Calibre
I don't use this feature, but the logical place is to keep them in Calibre. If your K3 goes walkabout, you can transfer them back from Calibre to the new Kindle.
Notes and bookmarks of personal docs and personal periodicals
Kindle:\documents, the file "My Clippings.txt"