To expand a bit upon what Ron said, using Save For Web strips unneccessary (for display) data from the file (EXIF data being one, resource fork data, and preview thumbnail data being others, especially for Mac users) in order to slim it down for size.
It also automatically changes the color profile to sRGB, the dpi to 72, and colors to the "web-safe" pallette (which I hate, and is why I rarely if ever use it).
I haven't experimented, but I believe that it does retain copyright tags, if you assign the values to the file.
Plus What Tom Said (Hi Tom!)
Forgot to add - if you haven't seen your EXIF data before, open your image in Photoshop, and go to File>File Info>Camera Data