Having been playing Modern Warfare 2 for a bit now, I did the inevitable, and went Prestige after level 70. It's not so much that Prestige is a let down, but it definitely should have been a better challenge.
First off, Prestige is all bragging rights. Basically it's getting to the highest level and then deciding to do it all over again. I'd feel more like bragging if i had to find a way to level without being able to complete the challenges I already had done. Yes, when you Prestige, just about everything resets, including the challenges you've completed. You still keep the access to the games you had, and the titles and call signs, and the ability to get the same xp.
That last one is my biggest problem I suppose. I wanted to Prestige so I would be forced to complete the later challenges and show that I leveled by being versatile and deadly and eventually used every weapon I could to win, but this time around, I'm using my favorites and probably avoiding the ones I hated.