The items listed on the Applications tab are referring to simple things such as MRUs (most recently used), logs, etc, which are safe to delete. However, if you wish to save the data files for a particular program you can uncheck the box. If you're really worried about it, just uncheck everything on that tab as those files don't account for much at all...most of the bulk to be cleaned out is found in temp files and such under the Windows tab.
The index.dat files it finds are also fine to remove. Those files simply list other objects, such as cookies in the case of Internet Explorer, and don't need to remain.
Finally, the link Carol provided should explain how to go about restoring a backup of the registry should it be needed. In my experience, though, CCleaner is very reliable, and I've never needed to restore the registry after using it.
Hope this helps,