IE3, IE4, IE5, IE6, NN4.X, NN6 all have different levels of support for Style Sheets. In general IE supports CSS best and luckily, IE has the highest level of market share.
Remember, if you don't check what your page looks like in several browsers you can't be sure what people are actually seeing. (Note: NEVER trust FrontPage's preview)
When you apply styles inline, embeded, and from an external sheet you will eventually run into a situation where you are overriding your own style preference. In general styles in pages take precedence over external sheets, but that isn't necessarily always the case.
CSS uses it's own syntax which you have to learn. So, yes, it's one more thing that you have to learn to use. Just like HTML if you mess up just one lil thing, the style might not work.