It's only worth it if you desire to complete the game to its fullest, IE invest enough time to get everything (200 hours). If all you want to do is finish the game, you might as well skip the sidequests and do the final battle. There are some sidequests that reveal more about the plot: Jecht Spheres, Omega Ruins, and Maechen, but these are not essential, and really more for aesthetic purposes. Other sidequests add some challenge and nuance to the game, but outside of Dark Aeons and the Monster Arena, not much else does anything.