Usually I would backup %appdata%\Local
since most game system files are found there. If you're adventurous enough, you don't need to copy the whole folder but instead copy the game's folder one by one. Also, most game registry settings are also found at HKLM\Software. It's very easy to spot a game publisher and then export that registry key.
Remember that it's always better to reinstall something, since you want that program to appear in Programs and Features for removal later on. Also, you'll never know when you're gonna use a program (say nVidia 3D Vision) that would require it to be detected, and the only way that would happen is if the proper registries are installed (they're scattered all over).
If you backup the folders I mention in the first paragraph and put them back to their new location, you can rest assured that you have your old settings and saved games when you play