I too would be interested to hear if it is possible to get DNN totally compliant.
I've recently created a
pure CSS skin which I've managed to get working in all browsers - including IE7beta2. (It's working in XHTML transitional 1.0)
The issues of validation did come up. - You can get rid of a lot of the errors by tweaking the default.aspx file.
I managed to get it down to 19 errors, but then added a javascript switcher into the skin for the css which raised the number of errors.
Module development is definitely an issue. - CSS aside, if you place a module in your skin that is created in tables and all the code is in capitals and no closing tags on <br> etc. it can cause a lot of problems in terms of validation. - You can edit the modules, but this takes time and would be good to see developers taking XHTML compliant code into consideration.
The main thing to consider is does your skin display correctly in all of the browsers, is it accessible etc. - If I can say yes to those questions, I can live with a couple of validation errors, but if my clients started demanding totally valid code I would have to use a totally different system to DNN.
It is interesting and it's something that has just been raised here as well:
http://forums.asp.net/12/1215723/ShowPost.aspx#1215723(check page 12)