If you picked up a new iPhone 5, did your iCloud, and something's still missing, you might have to move the data over manually. Likewise, if you set your iPhone 5 up as a new device but still want to keep data from a few apps or games, you'll have to move it over manually. iCloud and iTunes are great, but they're not granular.
If you use a Mac, an app like Ecamm's PhoneView is an excellent option. It'll let you browser your old iOS device, copy off just the data you want, and then copy it back to your new iPhone 5. And it's fairly straightforward to do.