Not as long as you are getting apps from reputable sources like getjar, Amazon (they require this too), or the Market (there may be others but I know these three off the top of my head). You need to check this box to install app (.apk) that you get from anywhere other than the Market.
You would need to do this to load apps you receive from emailed or downloaded apks. Just remember that these sources could be a) pirated (which this site has zero policy for) and b) may contain unwanted extra features (viruses, spyware, etc) so make sure you know the source before loading. If you have any doubt, ask here.