it depends on what you are validating. but i'm guessing that you want to validate your site for
markup validity. validation checks if your markup adheres to the standards of your specified document type (ie. HTML 4.01, XHTML Strict, etc..).
based on experience, validation really helps if you want your site to look the same across most browsers. since most browsers just try to estimate what your page will look like if the markup contains errors
(ie. missing end tags, missing end quotes, non-existent html tags, etc). since different browsers have different ways to do this, chances are, your pages won't look the same across different browsers. besides, there's nothing wrong in using the standards. from the very early days of the browser wars, companies invent their own tags to promote their browser like Microsoft and Netscape. there were no standards back then. that's why older pages on the net check if the browser is IE or netscape, so they can use some of their functionalities.
it is recommended but not compulsary to make your codes validated to search for missing end tags, removing unnecessary tag attributes, and so on. generally, it makes your code more structured and cleaner.
there are a lot of sites out there that provides validation, but the most common is the validator tool of W3C. at
http://validator.w3.org