What is SHSH? Why do I need it?
Apple has a system that tries to make sure you can only install the latest iOS firmware version: devices require their firmware installation to be verified (signed) by Apple during every restore or upgrade. Apple usually only signs a version while it's the latest version. This is designed to keep you from installing jailbreakable versions as Apple fixes exploitable bugs.
When you open Cydia, it automatically saves your device's available SHSH (signatures), so that you can use Cydia's signature server replacement to restore your device with those firmware versions later (after Apple no longer signs them).
Note: Access to saving SHSH is entirely based on Apple's servers and is not affected by your device's current version (or other properties). This means that Cydia can only save SHSH for firmwares being signed by Apple at the moment when you open Cydia, and after Apple releases a new firmware, Cydia has no way to save SHSH for any previous version, even if it's currently running on your device.
More details: Caching Apple's Signature Server (September 2009).