You mean the BB software or the BES?
If your BES is v4 or v4.1 you want version 4.* on the handheld because tasks, contacts & memo's sync OTA.
If your BES is v3.* (or 2.2 for Domino) you do not really need version 4.* on the handheld. Only if you want the picture viewer, the cooler BrickBreaker or password keeper and some other stuff