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Right, let's clear this up. This is the entire situation as I see it.

PSN+ is a paid service. As a member, you get to download content for free, or for a special discount. Any content you download for free can only be accessed for as long as you are a PSN+ member. Any content you pay for, even if it is with a PSN+ discount, you keep, even should you let your membership lapse.

There is also a third category of content: one-hour trails of full games. These trial games can be downloaded and sampled for 1 hour. After this, you either pay for the game to play it further, or simply delete it.

So, that's the three categories of content: free, paid, and premium trial (which is unlike a demo in that it is the full game, not just a section of it).

All trophies earned for free or paid games or DLC are kept, regardless of whether you stay with PSN+ or not. Trophies earned during a premium trial will be lost if you do not purchase the full game, but your PS3 will remember you collected them should you buy the game later -- the trophies are simply not synched to the main Sony servers.

So, that's everything as I'm aware of it. I've been a PSN+ member for a long time now, and it's one of the best services I've ever bought into. I've had an absolute ton of good games and content, far, far more than I paid for. If anyone has any more questions, just ask.