Question: 
Why does my iPhone 4′s baseband stay at 4.11.08 even I successfully downgraded the iOS to 4.x.x?
Answer:
UPDATE: You can now unlock it for free , follow the steps here.
The reason you were able to downgrade your iOS is because you have saved your SHSH through TinyUmbrella, Cydia or iFaith.
SHSH is a unique identifier of your device. When you restore your iPhone, iTunes will submit this information to Apple servers for verification and Apple will only let you downgrade the if the version is currently being signed.
By saving your SHSH using one of the tools or methods above, you will recall that you had to edit your hosts file or use TinyUmbrella before restoring your iPhone. This is tricking iTunes not to contact Apple server to allow you to downgrade to an earlier iOS version.
Now, why didn’t your baseband change? This is because Apple had implemented another security measure using something called BBTicket. This is by far the toughest nut to crack and so far no hacker can defeat this.
There’s currently a rumor of Chinese hackers building an SHSH server that allows downgrading of baseband.
