Whenever you are baking something that requires flour, like bread, cake, etc...I highly recommend sifting your flour. (In fact, many cake recipes require it.) Everything just comes out lighter, and yeasty stuff just rises so much better. You should even sift your flour when making things like pasta, because the dough will be more tender.
If you can't find an actual sifter in a store, which I have had extreme trouble doing, get yourself a mesh strainer. The kind that looks like it was made from screens. It works great as a sifter, and can do double duty as a colander as well. Plus, for those frugal minded people, it is usually cheaper.