When I write HTML code I want to check if I made any mistakes. Same thing if I use an application or a CMS that outputs HTML code. So I use validation as a tool to check the HTML code for errors. If there are any I want to find them and fix them if I can.
Even though I think it is a very important part of developing websites, validation in itself is not the goal. Validation is a tool to help you produce well-formed markup that is universally parsable and hopefully understandable and maintainable by other developers.
Posted in (X)HTML, Web Standards.