Ok, here is the deal. When you have credit, your information is typically held by three compnaies, Equifax, Experian, and Trans Union. When you have a credit report "pulled" the companies tend to pull all three records, as they have different scores (but usually in the same range).
The "score" that most people refer to regarding Credit Reports is called your Beacon score. It goes from 0 to 1000. If you have a Beacon score of 800 and above, you are typically regarded as having "A" credit. You would have to own a house or two, plus some cars as well, in order to have "A" credit. Most people have "B" credit which is a Beacon Score of around 650 to 790.
The problem with the Beacon score is that your credit rating is lowered every time someone pulls your credit history. This is done to prevent from having individuals pull their credit history on a regular basis to make sure that everything looks good (so to speak). So, yes, you do get penalized for having your credit history pulled, but not too much.
If you are not out applying for loans or credit cards all the time, you really have nothing to worry about. You should be cautious about your credit information, as companies (like credit card companies advertising pre approved cards) can pull your information if they are trying to offer you credit cards or loans.
It is recommended that you pull your credit information once a year, and take a look at it. You can get your credit history for free once a year, so it is a worth while thing to do. This lets you see who has been looking at your credit history, when they looked at it, and what they did with it. If there are incorrect statements, and such, you can dispute them with the company, and get it removed from your history.
Ok, just so you know, I am not a finanical analyst. I just have a bit of experience with the loan thing, and credit stuff. This is just my humble opinion and comes from my experience, so please do not take my notes above as law. Hopefully, just some useful info that I wish someone passed on to me some time ago.
Best regards.