Do you need to use __name__=__main__ statement for running any script in python?

I just wanted to understand why you have you use the __name__='__main__'statement if we can run any python script even without using that statement.

For example, I can run the script below without using the if __name__='__main__' statement.

def hello():
      print "hello"
      return 1234

# And here is the function being used
print hello()