When you restore your iPhone, this request is sent to Apple for approval. After a while, Apple stops signing these requests for older iOS's (such as iOS 4.0.2), and as a result the restore becomes impossible. TinyUmbrella is an utility that detects your iPhone's OS version and creates a fake signature that can fool iTunes into approving the restore. This signature file that TinyUmbrella saves is commonly called the SHSH blob. This backing up of SHSH blobs is mostly useful only after you jailbreak, because Cydia can save these blobs for later use (such as downgrading).
As for before you jailbreak, yes you should have TinyUmbrella as a safety net. It has a "Kick from recovery" feature which can save your iPhone if it gets into permanent DFU or something crazy.