Not using the GPG keys to authenticate the packages makes about as much sense as not using login passwords in linux or not using a firewall.
GPG keys are public encryption keys that are used to verify the authenticity and intactness of the rpms. They also help make the rpms tamper resistant.
GPG keys are easy/trivial to import. For FC3, you should be able to find the RedHat/Fedora keys on the hard drive. Actually, they are in several places on your hard drive and available from any fedora mirror. To install them in FC3 with root privileges, run:
rpm --import /usr/share/doc/fedora-release-3/RPM-GPG-KEY*
which imports 6 RedHat/Fedora keys. If you use other repo sources, you will need to import their keys, which are usually available on the repo web sites.