Personally, I never compared a single checksum to check if integrity has been breached (and I guess at least 99.99% of all users neither). I try to only download from reliable sources though.
-brotherS
Downloading from reliable sources doesn't ensure that your download is perfect. I recently downloaded Windows 7 from MS Technet but it wouldn't install. So, was it the download or my cd burner? Checksum told me the iso download was good. It also told me that Ashampoo Burning Studio wasn't that great afterall. After burning 3 disks that wouldn't install, I reinstalled Nero and burned perfectly the first time.
I realize my example doesn't support my argument that you can get a flawed download from a reputable site. But, with any large download, things could happen that are not the fault of the source.