Ethereum addresses implement a checksum scheme to ensure that people transferring addresses to each do not mistype them. As the writing of this, not all wallets or tools support address validation. In the case of a bad user input, it is possible that ethers or tokens get to send to an impossible address without any recovery options.
TokenMarket has released a simple online tool that allows to validate Ethereum addresses easily.
Please note that the tool only checks if the Ethereum address is correctly typed. We do not check that the receiver has a private key for this address.
People who might find this tool useful include
Bounty program managers that collect addresses from users that submit them in free format (no validation)
Other people who deal with heterogeneous Ethereum address input data