The the tool isn't as important as being able to do cool stuff with the tool. I've just followed a girl go from having opened Blender a week ago, to modeling a full character and mostly unwrapping it, in two months. Learning to use the program took her a few weeks. Understanding what to model and how is the harder skill, and more important.
Most new stuff has only gone to 2.5 for a while now - including the Overgrowth tools and exporters made of Wolfire guys. If you want to focus on doing stuff that works on Overgrowth, 2.5 might be a better choice.
Thta said, I still use 2.49. It has more scripts, more importers, more exporters, and it still has features not found in 2.5. For example, at the moment I'm working on weight-painting and animating a character, and I have to export it to the md5 format. The only exporters are for 2.4x versions, and I need a 2.4-specific script (Clean Groups or something similar) that removes unused weight groups. If you paint a vertex with weight 0, it belongs to that bone's vertex group, with weight zero. It has no effect in Blender, but the md5 format only supports up to four vertex groups for every vertex...
How did you make the Armature connection? Go to Edit mode, and to Editing screen (press F9), and look at the left part of the Buttons subwindow (if you have the default UI). There should be a list of vertex groups in there. If you haven't created any, and didn't use the parenting method in creating the Armature connection, there were no vertex groups the bone weights could be saved to.
The easiest way to create the vertex groups is as follows:
1) in Object mode, select first the model, then the armature
2) press Ctrl+P. this assings the Armature (active object) as the Parent object of the selected object (the character).
3). Usually, a Child object just follows the Parent object, but when you make Armature the parent, you get to choose additional options... such as creating a new vertex group for each bone, and even creating vertex groups and assiging them weights based on the closest bones, or the envelopes.
The button you probably pressed is the Sub (for Subtract) in the right menu on this picture:
