It will be carried over. However you may have to add your widgets to the sidebars again. And if you had a custom header, you will have to re-upload it in the appropriate size for the new theme.
(as a safe-guard, I always have my more complicated text widgets saved in textedit on my computer, just in case. I change themes on my test blog often and haven’t lost any but still, a backup can’t hurt. just in case…)