"If it ain't broke, don't fix it." In general you should only apply patches for security related problems. For each and every other patch you must consider two things: have I encountered this bug or am I very likely to encounter this bug in the near future. If neither is true, it is often best not to apply the patch. If you have a working system, why patch it? Patches do occasionally introduce new bugs and not applying patches is the best way to avoid those new bugs.
You should, however, install all patches that come with the Solaris 2.x CDs. Those patches have been tested together and supplement the base OS to the supported level. Some systems won't even boot if those patches aren't installed first.
Y2000, security and even recommended patches should also be installed and updated on a regular basis.
The latest Solaris releases come with packages "pre-patched" as well as a "Maintenance Update" CD. The "MU" CDs are meant to be used on systems with older HW releases; the patches on the MU CDs are already incorporated in the HW releases themselves.
The MUs are also available on "SolarisSolve"; to access SolarisSolve, all you need to do is register with "solregis". This service is available to all Solaris users.
PatchDiag from Sun helps you keep track of them.
Joe Shamblin's excellent PatchReport allows for easy patch diagnostics, downloads and installation.
Casper Dik's fastpatch allows for lightning speed patch installation.