You can setup iTunes to not auto Sync, but the first time you plug in the phone, it will want to set it up and you have the opportunity to make it like your old phone...apps, photos, music, etc.
In my opinion, it's always a good idea to have a full backup of your iPhone on your computer in iTunes. If, for some reason, your iPhone became defective and needed to be replaced, you could simply restore the new phone from your backup and not lose anything.
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