No, you shouldn't need to download all your games again. In fact, in your current steam folder just copy the steamapps folder somewhere safe. Then uninstall everything.
You can use the trick I mentioned previously at this point, or just redownload Steam and re-install fresh. How you re-install Steam to the new loaction makes no difference.
After, just move the old steam folder to the new location.
This way, you still have to install and set up your games, but you do not need to download them again.
But yes, I agree. It does stink this has to be done, but to my knowledge theres really no other way around it unless you manually edit every registry entry to update the changes.
Sadly, that can get extremely complicated unless you know its workings inside and out. Getting it all all correct would be to much for 99.99% of most users, including myself.
Also, my previous statement "You can not just move it and expect it to work......" will apply to anything that adds registry entries or needs to be installed. Applications that run from a folder as a standalone, media files etc can be moved anywhere without issue. Just a FYI.
Quite simply, for future refrence, if it needs to go through a install process you have 2 choices to move it.
1) Un-Install completely and re-install to new location
2) Create a Junction link (best used when moving to a second partition or physical drive IMHO)