Basically, you are fine with .NET framework 3.5 unless the program that you wanna install require the appearance of .Netframework 4. For example, when Lordbob or me analyze BSODs (crash), we use a program called WinDbg, the new package of WinDbg require .NEtframework 4 in order to install (Don't know why but they required me to have if I wanna continue installing process).
It never hurt to try .NEtframework 4. I believe you can have many version of .Netframework on same system (I have framework 1,3 and 4)
When you need to have it, you will be notified by the program you are installing