It's really worth it. At first you'll think it's a bit annoying, but soon you'll realize that validation really makes your code a lot tighter and fixes a lot of dumb mistakes.
By far the easiest way to get started is with the HTML validator extension for firefox: http://users.skynet.be/mgueury/mozilla/
This free extension adds the W3 engine and another great program called HTML tidy to your browser. You can set an icon that tells you how many errors are on whatever page you're currently on for quick review.
It also adds features to the 'view source' window. It marks each error and adds much more helpful hints than the w3 validator does. Best of all, there's a button to use the Tidy engine to automatically clean up the code. It's not perfect, but you'll learn a lot.
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