Flu season generally runs from October and even as late as May, with a peak in January and February. The flu can be more dangerous for certain groups of people, including the very young, the elderly, and those with chronic lung diseases like asthma and COPD. Since we are already a month into flu season, hopefully you will get yours soon if you haven't already!
The flu shot takes around 2 weeks to go into effect, to protect you from the common strains that will be most likely to go around this season. It doesn't protect against every strain, because that would be virtually impossible. There are many strains that will be less common that the flu shot for a given year will not guard against. However, once you've gone 2 weeks after your flu shot, you will be vaccinated against the most common strains for that flu season, and it's recommended by health professionals that you get one.