Will I lose everything if I updated my iPhone 4? If yes what will I lose.
Updating, no. Restoring, possibly. Usually any games will go back to the beginning, but if you do a good backup of it first, then set it up from that backup after restoring it, you shouldn't lose anything.
You mean update the software? You won't lose anything if it's not jailbroken. If it is, you will probably just lose all jailbroken apps. No promises though.
Update it on iTunes? U shouldn't lose anything unless it gets reset to factory settings.