in step 3 it makes use of the pathfinder intersect tool to add shadows to the tracing objects. But it uses alt-intersect instead of intersect tool on the pathfinder toolbar, which I find strange. This is because when you add to an object an overlapping shape extending beyond the underlying shape, alt-intersect maintains the non-overlapping parts but makes no difference to the coloring coming next, so why use it in the first place since its just adding redundant lines on other shapes? This just makes a compound shape without modifying anything, is that the whole point and why would it be useful?
Well, first of all, it all depends which version of illustrator are you using.
In CS2, for example it used to be backwards. Alt+Intersect used to get rid of the extra shapes, resulting in a single shape. In CS4 (never used CS3 so dunno what was the policy there), Adobe reversed this - for whatever reason.
So this tutorial maybe written in a pre-CS4 release, where Alt+click actually expanded the objects.
As far as why would you use that? Well, there are times when after the operation you want to reposition the paths that made up the resulting path. This would allow you to reposition them, since they are still available. Also, depending on what project you are working on, there are times when you want to make a copy of one of the original shapes (for clipping or masking or what have you). Again, in this case the original paths are still available.