The importance of validation depends on your target audience.
If you intend your page to be visited by people using screen readers and other devices to assist people with disabilities, then validation is important. Not so much stylistically, but the proper syntax of the doctype you use will insure that the aiding device works as intended.
However, if you plan to have your site visited by people with no vision problems or using any kind of aiding device, then validation means little more than bragging rights.
Theoretically, validation has a purpose to insure that your site looks the same (similar) in different browsers. Using proper code is the best way for this to happen.
However, browsers today do not read just one doctype, nor are they very strict about it. Today's browsers understand all the doctypes simultaineously, meaning you can use xhtml stict/transitional code side-by-side with html 4.0 and any modern browser will render it as you intend.
However, there are some people still using IE versions below 5, and no-name browsers that render code very poorly, so using the proper code per doctype will help make your page work correctly for these people.
If your page works like you want in FireFox, Safari, IE 5+, but does not validate, as long as it's not a site about or for blind people, don't sweat it. Just make sure to use all opertunities for alt and title tags.
You will find most professional sites don't validate. This is partly because validation isn't the end-all of good web design, and partly because most professional sites use content management systems and community publishing software. When you've got several people creating content for one page, you're bound to have a few who don't write valid code.
There seems to be a prententious movement of self-proclaimed designers who will scorn you and scream bloody murder because a 50+ page site doesn't validate, and they will link to their (un-unique) 4-page "portfolio" that validates. But honestly, in real-world situations, most validation can be over-looked.
So you didn't include a title for every <a href> on your site? No big deal.
I'm a CMA for michigan.gov, which is one of state government's most accesible sites, and has won numerous awards, so I am all for validation and accesibility.
But for personal sites and sites that don't need to cater to 100% of the public and all aiding devices, validation is near meaningless.