Apple restricts restores on the most recent idevices (3gs & above) by only allowing the current official FW to be restored.
SHSH blobs are the signature from apple for a FW (e.g. 3.1.2) that was saved while 3.1.2 was being signed. This allows you to downgrade
(EDIT: or restore) to said FW.
Read
here for more info.
SHSH's are unique to each iPhone, so you cannot use someone elses.
You cannot get SHSH blobs for a FW if Apple have stopped signing for it.
Apple is now only signing for 4.0
Cydia gives an option to 'Make my life easier' and, if you said yes, proceeded to save, and continue saving, SHSH blobs for each FW as it was released.