If you're reformatting your disk and reinstalling an operating system, obviously you'll lose everything.
Saved games vary from game to game. Sometimes they're saved to a seperate folder that the game installation places in 'My Documents' and sometimes you'll find them in the main game directory, lurking in a folder somehwere.
It may help to log on to the game's website and check out their FAQ's or forum, you'll probably find an answer there.
Or just go to C Drive/Program files/ LOTR/ Players or whatever and look for the saved games folder.
Good luck
PS: Other things to consider saving 'Favourites' with all your favourite Internet site bookmarks, your e-mail and your e-mail contacts or addresses.