1. any resource that is created with ResourceManagementMode.Manual
LoadGraphicsConent is called whenever the devide need to be reset (loadAllContent==false), or recreated (loadAllCntent==true). I don't exactly know the whole theory of when each case happens, but XNA takes care of this for us.
2. Since only the graphics device has problems sometimes (minimize / maximize / move from one monitor to another, etc), when it needs to be reset/recreated, then only resources that are related to the graphics device may need to be recreated. Audio is independent of the graphics, so no problem here.
Edit: Nick explained it way better than me, but I didn't see his post before I wrote my reply.