This article ASP.NET.4GuysFromRolla.com: Client-Side Validation in Downlevel Browsers summarises the issues with validation in 'downlevel' browsers [although calling them 'downlevel' is Microsoft techmarketing at it's best]. Why not call them 'more standards compliant than IE' browsers instead?
More and more clients will be using non-IE browsers (Safari, Firefox, Mozilla) and non-PC-devices in future, so it makes sense to try and provide the same user-experience (ie. faster, client-side validation).
Go to the article to finds links to standards-DOM-based validation controls; or the longhorn beta documentation, which contains simplified versions of the validator controls that ship with the .NET Framework. Unlike the validator controls in the SDK, which work only with Internet Explorer, these controls comply with the World Wide Web Consortium Document Object Model Level 1 specification (W3C DOM Level 1) and support a number of browsers such as Internet Explorer 5, Netscape Navigator 6, and Opera 5.