For 3.0 I actually wrote the errata into my PHB (or for long ones, print out and stuck it in the appropriate page)
For 3.5 and 4.0 I read them all, nod in firm agreement that it clarifies/fixes/modifies things (for most of them anyway), and then I go to my game(s) and essentially forget about (not on purpose, just, wow I have other things to do).
If I remember, great, I'll look at it when it is relavent, otherwise, just go with the flow until someone tries to exploit something.
Would I *like* to have it all incorporated, yes! And maybe, just maybe, when my current PHB starts to fall apart, I'll look forward to buying a new one with all the errata updates. But I'm not specifically holding out for that possibility.