Since a long time ago, when I found out about the W3C Validator, I made sure every HTML document I made was valid HTML.
However, I think sometimes it just isn't necessary to waste time making it valid. Of course, for actual Internet pages may be important, but is making pages on an Intranet, or even little front-ends that are used with other programs, when the HTML page renders correctly in the most used browsers (not necessarily counting IE 6 and 7).
I think I'm mostly talking about little improvements over code, such as wrapping every shown element of the page on <p> or <div> tags.
Making a page validate for its own sake is not really a business proposition. What happens for end-users (with their cranky browsers) is the real test.
That said, validating periodically will help you debug. It'll catch the more salient errors like unclosed tags. Which, in turn, does affect end-users. So treat validation like compiler warnings -- good for discipline.