Yeah congrats on your PS3, it's great eh?
If you do decide to change your HDD then the things stored on your previous HDD will remain there. You will lose saved data and games/media etc, if you didn't back them up or copy them onto your new HDD. However, you are able to re-download previously purchased games up to 5 times I believe. <-- Confirmation needed.
As for leaving your PS3 on overnight, it’s not recommended as there’s a slight chance that it might overheat, but then again there are a lot of people who do leave theirs on overnight so I don’t see why not.