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Like any other programming language, Cg does not allow mistakes. As such, your shader will not work if you have a typo in your code. When this happens, your materials are rendered in unshaded magenta:

When a script does not compile, Unity prevents your game from being exported or even executed. Conversely, errors in shaders do not stop your game from being executed. If one of your shaders appears as magenta, it is time to investigate where the problem is. If you select the incriminated shader, you will see a list of errors displayed in its Inspector tab:

Despite showing the line that raised the error, it rarely means that this is the line that has to be fixed. The error message shown in the previous screenshot is generated by deleting the sampler2D _MainTex variable from the SubShader{} block. However, the error is raised by the first line that tries to access such a variable. Finding and fixing what's wrong with code is a process called debugging. The most common mistakes that you should check for are as follows:

• A missing bracket. If you forgot to add a curly bracket to close a section, the compiler is likely to raise errors at the end of the document, at the beginning, or in a new section.
• A missing semicolon. One of the most common mistakes, but luckily one of the easiest to spot and fix. When looking at the Error definition, first check if the line above it has a semicolon or not. 
• A property that has been defined in the Properties section but has not been coupled with a variable in the SubShader{} block.
• Compared to what you might be used to in C# scripts, the floating point values in Cg do not need to be followed by an f. It's 1.0, not 1.0f.

The error messages raised by shaders can be very misleading, especially due to their strict syntactic constraints. If you are in doubt about their meaning, it's best to search the internet. The Unity forums are filled with other developers who are likely to have encountered (and fixed) your problem before.