First I would check the manual to make sure this is the correct rated fuse no matter what you just took out.. Never know what someone else just happened to have on hand and stuck in there as an replacement.
I know Radio Shack carries that size 4A 32 Volt. I think even Walmart and auto part stores have them..

Bill in Indiana

http://www.jaycar.com.au/images_uploaded/fuseprmr.pdf

This is a pretty short read on Fuses.

http://mirror2.ipdb.org/files/1416/Data_East_1993_Last_Action_Hero_Manual.pdf

It's on the 1st page after the cover right before the table of contents. Looks like the only 4 Amp fuse used is F8 for the 50V coils..

Most machones have the fuse chart in the backbox also.

Does this happen when you are playing or when it's turned on? Did you replace any coils recently?

Which fuse is it? F8? If so, it's for some of the 50v coils. The manual sucks, can't tell.

Check the fuseholder clips. They are poorly made on DE games. Cold solder and breaks.

Also, before you replace that fuse. Lift the playfield and do a visual inspection. Sounds like you have a short. You need to fix the problem because you'll keep blowing that fuse.

F8 does not fuse the flipper coils or slingshots, so you can skip that area. For starters, check the ball launcher and right scoop. Look for shorted switches, shorted coil wires, shorted diodes leads over the lugs. Move you way through the rest of the coils.

Radio shack is one of the cheaper places to get fuses.

You must be talking about F5, 5 amp slo-blow 34vdc. According to the manual, it runs the "slings, bob pumpers, etc". Probably got a short on those switches or coils or someone put a 4 amp in it's place. That's my guess. See how it goes, might have to dive deeper if that all checks out.