The short answer - Yes and No

Firstly, by using the term "validating" your site, we are referring to the XHTML and/or CSS validation. You can validate your XHTML, HTML, and CSS pages using the W3C Validator.

Validating your CSS will do little to nothing in terms of SEO, because spiders don't really care much about your CSS, outside of "Is this guy trying to hide divs so only spiders can see the content". Otherwise, if you use a nonstandard CSS attribute (like the IE-only "filter" property) it isn't going to hurt (or help) your site one bit.

Validating your XHTML or HTML pages is another story....kind of. Spiders dont' validate your site - they don't actually care if it validates. They're trying to index the important keywords and content on the page, not the HTML structure of the page. However, that doesn't mean you should be sloppy either.

Browsers are quirky. You may have noticed that you a site that looks outstanding in Firefox is broken and distorted in Internet Explorer, or vice versa. Your HTML may markup quite fine (visually) in one browser, but not another. Often, this is due to HTML structuring errors - perhaps you forgot to close a div, or a table tag, for example.

While spiders don't directly care if your site validates, they see the page differently even from all the browsers you can download on the internet. They're programmed to load the HTML page, and then parse it for various tags, values, and so on. If your page is not well structured, or there are HTML markup errors on the page, it is entirely possible that a spider may not be able to parse it properly - or at least as easily/accurately as it would be able to if your page was rendered with valid code.

So, long story short, while the spider isn't going to validate your page, and isn't going to penalize you based on whether your page uses valid code, if there are serious errors with the markup it may inadvertently cause the spider not to be able to properly index the web page. If you run your site pages through a validator and all of the errors relate to small things like use of "&" instead of "&" in the urls, you shouldn't be concerned with how the spider will see your page. However, if you get tons of errors about missing closing tags, undefined tags, and so on, you might want to take another look at that page's HTML structure and see if you can fix it up.