What is a validator?
A Validator is a software tool that checks that your data is valid (for example, it is well formatted or written (syntactically) regarding a specification).
Why should I validate data?
Using a validator is useful because you can save time by knowing if your data is ok or if it contains errors. For example, if your HTML code is validated, then is probably that your site is going to be cross-browser and cross-platform compatible. Also, search engines will rank better your site because is easier to them to crawl your website.
Validators are also used as a debugging tool, because you can find errors in your data or code that is not visible to the naked eye.