1.) the best section to post this was probably here: http://forum.arduino.cc/index.php?board=67.0
as its dedicated for these question.. (mod will probably move it)
2.)the bootloader allows the board to 'pause/hang' and wait to see if a sketch is trying to be uploaded (new code).. if not.. it initiates/starts the code/firmware that is written on the main chip. You would be uploading your code over serial (RX/TX/V+/GND/DTR).
*the bootloader eats up some of your available room on the chip, so if you need more space, you might also consider not using it.
*if you opt to NOT have a bootloader your board will 'start' faster... (ie: no waiting for sketch uploads/check)
if you do NOT want a bootloader on the chip, you need to upload your code using the ICSP (SPI) pins (RESET, V+, GND, 13, 12, 11)
if you mean embedded and inaccessible, means you can never program/update it again.. then (make sure everything is perfect).. and go with no bootloader..
are buying an Arduino board? or is this a custom board your making yourself?
if an Arduino board it should already have the bootloader on it.. in that case, just leave it (no harm)
if making a custom board, I always burn the bootloader at least once to set the fuses and all that crap thats beyond my skills to do/set manually..
then if needed.... I just overwrite it by uploading my sketch with (Upload as programmer) option using ICSP pins..
but its not like the bootloader takes along time or anything..