To try and answer the original question: I am an anaesthetist. From our point of view, epidurals are best started after labour is established, the definition of which is 4cm dilated. We do not want to perform an invasive procedure on a woman who is not actually in labour. It can slow things down, and in early labour that means it can actually stop.
Except, and there are always exceptions, where the lady in question is absolutely, definitely, going to deliver in the next 24 hours i.e. they are being induced, and are facing the "cascade" of intervention anyway. So it is quite common in one of the obstetric units I have worked in for midwives to ask for an epidural on behalf of a lady before the syntocinon drip (which make contractions stronger and more frequent) is attached, regardless of dilatation. This is fairly sensible, given that the lady is more likely to sit still for the procedure, making it easier to put in.
At the other end of labour, it is very common for women to ask for an epidural in transition, as the pain changes in nature and is often stronger. It is really not a great idea to put in an epidural at this time. They can take 10 minutes or so to get in, and a further 20 to fully take effect. Most women are well through transition in this time, so have been exposed to the risks of epidural with little or no benefit.
However, there are always exceptions, and I have put in a fair few epidurals late on (9 -10 cm). Some women feel the urge to push a bit early, and can make the cervix swollen, preventing full dilatation. An epidural removes that urge, so very useful. Some women reach fully, but the baby needs to decend more or turn, again a late epidural can be very helpful.
So in short, between 4-8cm dilatation, with exceptions.