Matt Cutts recently said that validation really does not matter. Google's own home page shows 50+ coding errors with the W3C validator.
Validation is good for improving the rendering speed of your web pages and in helping to assure that they render consistently across different browsers. Poorly written code can take longer to render.
If the code is very poorly written with serious coding errors, you can have problems with spiders, so it is a good to validate to pages to avoid any potential problems. It is also a good way to learn how to write code that meets the standards.
"Democracy is two wolves and a lamb voting on what to have for lunch. Liberty is a well-armed lamb contesting the vote." -- Benjamin Franklin