I've been thinking about messing around in Unreal Engine 4 for a while and hav begun modelling in Blender. I've only just begun to think about which version I should be using (Cycles vs B.I) Does it really matter when I'm exporting meshes and animations? What about materials? I plan on manually tweaking them in UE4 so Blender is more of a preview for them.
You will not be using Cycles or Blender Render in Unreal Engine. It makes sense to create materials for the render engine that you are going to use so you should work on materials for Unreal Engine in Unreal Engine.
If you work on textures inside Blender, you can preview them in the view-port, and it makes little difference what renderer you choose to have selected in Blender while working. You could use Cycles for baking light information. I am sure you could find use for Blender Render while making assets for Unreal Engine, however it is going to be replaced by EEVEE in not so distant future, so it might not be the best investment of your time to learn using it.