I would say yes it is extremely important, but that's just my opinion. It may appear correct to you, but does it work proper for those with disabilities, etc? It's important for the blind, etc. Read up on it, you'll see. I don't know enough yet myself to explain it but I've done a lot of reading and try to be sure my sites validate.
One thing i've noticed with the W3C Validator is that it doesn't like the "&" in the url. It suggests to put & in it's place. But how do you do that when you have ?page=pagename and PHP sessions?
From what I recall, it will still work. The browser knows how to change it in the address bar and take you to the correct place.
Web-rover, You may also want to view your sites in IE, FF and Netscape. Although IE has the largest market share the others are gaining. Particularly FF. Browsing result are usually different in all three.
Then just change it to & Otherwise it'll never validate as XHTML... Lady... As a side note, Validation is good for browser compatability (Well, it helps), but in terms of accesibility for partially sighted users, you need to have a text-only version or something built using <div> tags...