The answer, in one word, is: very! You may incur some additional cost, but a lining will actually extend the life of a window treatment. An additional lining layer gives a finished valance or curtain a professional appearance, increases insulation (both sound and temperature) and helps light- to mediumweight fabrics hang better by giving them more body. Lining also provides more privacy, cuts down on the light and dust that can filter through a window and reduces sun fading.
From a construction viewpoint, lining hides the treatment’s inner workings (seams, hems, tapes, etc.) from view. Exposed seams and unfinished edges are unsightly when your goal is to create a professional-looking window treatment. Lining covers all of those details in addition to the benefits previously discussed.
Finally, from an aesthetic viewpoint, if all window treatments in the house are lined in the same color (with white or off-white being the most popular) the windows have a consistent appearance from the outside. This is a symbol of quality to the passers-by–they’ll think you hired a decorator!