Anything that is not stored on an EBS volume that is mounted to the instance will be lost.
For example, if you mount your EBS volume at /mystuff, then anything not in /mystuff will be lost. If you don't mount an ebs volume and save stuff on it, then I believe everything will be lost.
You can create an AMI from your current machine state, which will contain everything in your ephemeral storage. Then, when you launch a new instance based on that AMI it will contain everything as it is now.
Update: to clarify based on comments by mattgmg1990 and glenn bech:
Note that there is a difference between "stop" and "terminate". If you "stop" an instance that is backed by EBS then the information on the root volume will still be in the same state when you "start" the machine again. According to the documentation, "By default, the root device volume and the other Amazon EBS volumes attached when you launch an Amazon EBS-backed instance are automatically deleted when the instance terminates" but you can modify that via configuration.