The Favicon validator ensures that you have a correctly created favicon. If you're wondering why your favicon works in some browsers but not in others (like IE), it probably has an incorrect format.

Favicon validator results

I also learnt from validating my favicons that you can actually place more than 1 version of the favicon image into the .ico file (it seems to be a container for these images rather than being an image itself).

Oh, and the same site also has a very handy Favicon generator - I used this to fix some of my favicons, which used to be GIFs renamed with the .ico file extension. Very handy.