There are several different reasons to choose a specific type of underlayment. Depending on where you live, ice and water shield can save you from future problems with ice damming. In climates which experience snow and freezing temperatures, areas of the roof which get sunlight during the day may experience melting in daytime and refreezing at night. Especially on areas of the roof which have a gutter right below, the refreezing snow and ice can creep up under the shingles causing water damage at the bottom of the roof edge and under the shingles. In these types of climates you would want to install ice and water shield (which adheres directly to the roof decking) at the bottom edge of the roof and up about three feet on all sides. Some shingle warranties require ice and water shield to be installed on ALL perimeter sides of the roof. Also, shingle warranties are often the reason to pick a particular type of underlayment. Some shingle manufacturers require you to use their brand of underlayment for warranty coverage. Since underlayment is often one of the least expensive components of the roofing materials, it makes more sense to use the warranty specific products than to save a little up front and have your warranty voided down the road.