no, you usually don't need python. only if you want to use a script which depends on modules that aren't included in the blender distribution.
if you want to install python for blender then you have to use the same version blender uses (which is 2.5 as far as i know for the current windows release).
This is just true for some special stuff. You can run Blender without Python too. And you will not miss any functionality.
Just in case you want to install Python, don`t use the newest version, use Python 2.5. Current Blender version is not compatible with the newest Python from what i know.