I agree with everybody else's replies.
Gauge matters if you want something to be a certain size or if you're knitting a pattern.
I knitted a scarf without a gauge, but it was just a simple 2x2 rib AND not meant to be too wide, so I could look at it after a couple of inches and frog it if I wanted it wider or narrower - time lost, less than an hour. My second project is a baby blanket knitted diagonally, and all the directions say is "increase until it measures 20" on a side" so no gauge there either. I figure that these projects will let me get into my knitting style, so I can swatch for gauge when I do something where it matters and be confident that my swatch will match my usual style.
Gauge also changes with the yarn, the needles, the pattern - pretty much everything!
You've gotten some pretty good comments on how to swatch. Knitty has a good article on "why swatch" that I read, and will go back to when I need it.