When changing allegiance, you retain all conquest points.
If this is the first time you've switched to this nation, you are reset to Rank 1.
If you decide later to return to your previous Nation, you will get your previous Rank back.
Any rewards for missions done in other nations are retained when you switch (i.e. you will keep your Airship Pass, etc.)
All outpost teleports are no longer lost; you will not need to redo the supply quests if you return to your previous nation.
This only applies to outpost data that was saved to the game on and after the 6/9/2008 patch. Any outpost data saved prior will have to be quested again. GMs have clarified that the reason for this inconvenience is due to previous "thematic" deletions of outpost data from completed supply missions at the time of the allegiance change. Example: A player was allied with San d'Oria with all outposts complete and changed to Bastok on 5/1/08 and then obtained all outposts again. That player then changes allegiance to Windurst on 6/20/08. All outpost data for San d'Oria is lost but all outpost data for Bastok is saved.