In Canada it works like this
Everytime that you do a credit check, it shows up on your credit file. Having too many checks in a short period of time could potentially affect your credit rating, especially if you're going after those store credit cards (Sears, Bay, Best Buy/Future Shop, etc....)
Applying for credit and not taking it in the end, shouldnt affect anything on your credit, except if it relates to too many credit checks.
Go get pre-approved, see how much they give you, and then go. If they don't approve you for what you need, at least you know how much you've got to work with, and you might be able to find something in that range, if not, then cancel the loan. As i'm writing that though, i'm just thinking, generally if you do apply for a vehicle loan of any sorts, you need to know what you're going to buy, and may need sales slips and that kind of thing, then they usually put a lien on the vehicle.....
Anyways, kinda got off track. All in all, if you haven't applied much lately, go for it, apply. If you've applied to a bunch of places, be a little more weary, perhaps review your credit file with your banking officer
And finally, keep in mind, this is using Canadian Legislation, US stuff might be/probably is different