Here's a little snippet of jquery code that I wrote during our discussion about client-side form validation at DrupalCamp Germany. It simply adds an "error" class (typically a red border around textfields) when you move away from a required field while leaving it empty. While it's functional, it's probably not the best way to write it, I'm just posting it here for informational purpose.
$('.form-required').parents('.form-item').find('input').blur(function() {
if ($(this).val() == '') {
$(this).addClass('error');
}
else {
$(this).removeClass('error');
};
});


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