Not always! While pre-approval does help in most cases, it may work like a PLACEBO in some cases also. Too many placebos and your sugar goes up! You need to know the answer of the second part of your question - CONSEQUENCES. It is true when you shop for Houses, Condos, Foreclosures, Short Sales etc. most sellers would ask to see a pre-approval. But Coops are very different. Most Coops have their own guidelines and you need to know them first. Pre- approval won't help there.
Before you shop for pre-approval, which is actually shopping for mortgage, do your home work first. You know your income, your expenses, obligations. You can run your own credit report for free through various websites. Look for incorrect, even seemingly harmless informations that need to be corrected. There are websites from credible lenders and other helpful resources where you can calculate your buying power by entering your financial information. You do not need to give out your Social Security, Date of Birth, Address for that. At best, put your Name and phone and/or e mail.
Once you are serious (not just looking), put yot priorities in order of 1. Afford 2. Need 3. Want, not the other way around. Do some research on locations. Browse property ads, see what's out there. Look beyond price - closing costs, taxes, utilities, possible fixing costs etc. etc. There are websites to help you with that also. Once you know what you really want, start looking. You do not have to have a pre-approval in your pocket to look at a property. Those who don't want to show you without a pre-approval, don't bother. After you have narrowed down your search, you may go for pre-approval, to credible lenders only. Ask people you know who bought recently and are happy with their lender/broker.
Consequences - you will have to give out quite a few personal informations to someone who may or may not be your final choice. Not all sellers and agents accept pre-approval from everybody. Multiple pre-approval can affect your credit score. You will get calls / e mails from those who gave you pre-approval even if you are not ready. An inflated pre-approval will give you a false sense of affordability and you may spend more simply because someone said you can.
If you want to discuss this further you can call me at 917-763-2260 or e mail me at firstname.lastname@example.org. Don't worry, I will not bombard you with calls, e mails. Thanks. - Belal Mohd