In The Way of Kings, when Syl bonds with Kaladin, she has no memory of her past when she chose to form the bond. Other Nahel bonded spren like Wyndle (Lift's spren) remember where they came from (Wyndle talks of being a gardener). Is there a reason I'm forgetting for why Syl remembers nothing? I've also read WoR, so I'm not worried about spoilers.
Wyndle actually contributes to explaining this bit.
None of the spren can make the transition from Shadesmar to Roshar easily. Most of the ones that try find themselves without memory or sentience once they arrive on Roshar, and much like Syl, end up acting on instinct with little identity. They appear to consider it worth the risk, both to help save the world and to have a chance at experiencing the Physical world instead of the Cognitive one they are native to. Bonding with a human isn't just to give those humans powers to run around being awesome with (thought that is one intent), it's a way to regain their sentience and sense of self, and continue to exist on the Physical realm of Roshar as more than just another spren.
Wyndle's fragmented tale to his unconcerned listener includes the fact that apparently his people - his spren, calls them The Ring - were able to band together their power to push him through with less problems. He kept his sentience, although he still has several holes in his memory.
Mistress, the transition to your side was difficult and left holes in my memory, even with the precautions my people took...
The fact that they already had a human in mind to target may have helped - he complains of being "chosen" to bond with Lift, an "impressionable" child (end sarcasm) when he wanted someone older and distinguished (lucky him). The difference may be academic - he only appears to be slightly more knowledgable than Pattern is at this same point in the story, unless you count his flowers.
It makes for a rather fragile existence, when all's said, as demonstrated by Kaladin's story, where...
Syl begins losing memory and reverting back to her simpleminded windspren behavior as Kaladin starts moving away from the intent of his bond with her...
...that bond is really the only thing sustaining their mind in our world, and it can be reversed or broken rather easily.
Everything does point to spren regaining their memories as their Nahel bond gains strength. Syl remembers more and more as the book progresses; she blurts out the term Cryptics rather early on with no real understanding, and later puts together that it's a different kind of spren. Pattern goes from extremely simple and mostly mute early on, and by the end of the book is coaching Shallan and actively helping her.