Odin one click is preloaded with the original firmware to flash your phone back to it's out of box state, unroot, etc. Odin3 is used to flash custom Kernals and ROMs. ROM Mananger has ClockworkMod Recovery within it, get the paid version it is well worth it if you plan to play with custom ROM or kernals. ClockworkMod has built in Nandroid backup which will backup all of your data and settings, you can then revert back to whatever you have backed up, it works the way Windows system restore works. Also, get the full version of Titanium backup to back up all of your installed apps and data. These tools will prove to be worth their weight in gold if you plan to customize your device. I could not live without these usefull tools.
Do yourself a favor, read and study the XDA forums befor making any changes to your phone so that you understand what you are doing and you do not end up bricking your $500 phone. These phones are unbrickable. Everyone needs to be sure that their phones can go into recovery or download modes using the key combos before messing with them or you will be capable of bricking your phone.
My advice is if your phone will not go into recovery or download modes, call Samsung and tell them you plan to develope apps and you need to be able to use this function, they will have you send the phone to them and they will flash it for you to do this. If you are within your 30 day return period with AT&T go to the store you purchased it from and tell them the same thing and check in the store that the phone will go into recovery using the key combos. Some of the newer builds that have bulid dates later than 8/15 seem to be a crapshoot with the key combos.