Don\'t know much about encryption...
Say I\'m preparing a SAML request to submit to an identity provider. Why would I need to apply an x.509 certificate to this request?
In the case of SAML, message-level security (i.e. the XML itself is signed and sometimes encrypted) because the communication involves parties that don't communicate directly. SSL/TLS is for transport-level security, only used between the two parties that are communicating directly and for the duration of this communication only.
Depending on which SAML binding you use, the dialog can look like this (e.g. along the lines of Shibboleth):
In this scenario, there is no direct SSL/TLS connection between the SP and the IdP, although all 3 parties are involved. (Some variants of this involve a back-end communication between SP and IdP for attributes, but that's a different problem.)
What applies to signing also applies to encryption, if the middle party, i.e. the user, isn't meant to see what's in the SAML message and/or if the connection between the user and the SP or IdP isn't over SSL/TLS (usually, it should be over HTTPS).