What are some of the biggest differences between Drush versions 3.x & 4.x?
There's a lot of new user management stuff
The cache clear functionality has become more fine grained The backup folder for module updates now appears outside of webroot and you have greater control during updates over which modules to update (security updates only)
Check out http://docs.drush.org/ for more information.
Drush 4 features a great feature where it can act upon all the sites defined in your sites/ folder in one command. So if you run multisite you can run Drush commands against them all.