Scientific Linux was designed so that an administrator can easily upgrade their computer between minor releases.
It is not required that administrators upgrade their release, because the security errata will be updated for all releases. But there are often features and/or packages included in later releases that were not available with the earlier releases.
Below is the steps, for both yum and apt, to change to the latest 4.x release. You can use either yum or apt to do the upgrade. Yum is prefered. Note that for the x86_64 installations, apt does not work.
These instructions are for updating between minor releases, such as from 4.1 to 4.3. Changes between major releases 3 and 4 (such as from 3.0.2 to 4.1), cannot be done with yum or apt, but must be done with the main installer.

YUM

For The Impatient

1. rpm -Uvh ftp://ftp.scientificlinux.org/linux/scientific/4x/i386/misc/RPMS/yum-conf-latest.SL.noarch.rpm
2. yum clean all
3. yum update yum
4. yum update

For those a little more cautious

1. Make sure you have done your backup's.
   I haven't heard of anyone needing them, but don't you be the first.
2. Make sure you have enough disk space. In particular, make sure you have enough space in /var/cache, which is where yum downloads the rpms.
3. optional yum update
   This will get your system up to date with the latest packages. It will also make the last step smaller.
4. rpm -Uvh ftp://ftp.scientificlinux.org/linux/scientific/4x/i386/misc/RPMS/yum-conf-latest.SL.noarch.rpm
   This will install the latest yum.conf for your system. If you customized your yum.cron, or your yum.cron.excludes files, these will not be touched.
5. yum clean all
   This cleans up all the headers and packages from your old yum configuration. If you do not do this step, it is very likely that yum will say that there is nothing to do.
6. yum update yum
   It's always good to have the latest yum before doing this, just incase the latest yum has fixed some bug you would have ran into.
7. yum update
   This is the big part, where everything gets changed.
8. Check your grub and/or lilo settings. Although yum usually gets things right when it updates kernels, it is always a good idea to give the grub and/or lilo config files a check.
9. optional yum clean all
   This cleans up all the rpms that you just downloaded, clearing up your disk space.
10. /sbin/reboot
    Reboot into your new kernel and Scientific Linux release

APT

For The Impatient

1. rpm -Uvh ftp://ftp.scientificlinux.org/linux/scientific/4x/i386/misc/RPMS/apt-sourceslist-4x.SL.i386.rpm
2. apt-get update
3. apt-get dist-upgrade
4. apt-get upgrade-kernel

For those a little more cautious

1. Make sure you have done your backup's.
   I haven't heard of anyone needing them, but don't you be the first.
2. Make sure you have enough disk space.
3. rpm -Uvh ftp://ftp.scientificlinux.org/linux/scientific/4x/i386/misc/RPMS/apt-sourceslist-4x.SL.i386.rpm
4. apt-get update
   
5. apt-get dist-upgrade
   
6. apt-get upgrade-kernel
   
7. Check your grub and/or lilo settings. Although apt usually get's things right when it updates kernels, it is always a good idea to give the grub and/or lilo config files a check.
8. /sbin/reboot
   Reboot into your new kernel and Scientific Linux release