Verify Integrity of Game Cache is a good thing to do as general troubleshooting if you're having issues - it insures that all your game files are healthy and up to date.
1. Open Steam
2. From the LIBRARY section, right click on the title of the game you're verifying
3. Then, select PROPERTIES from the menu that pops up
4. Click the UPDATES Tab and make sure the dropdown says "Always keep this game up to date"
4. Then swap to the LOCAL FILES tab, then click the VERIFY INTEGRITY OF GAME CACHE... button.
Steam also has a great support article they've put together HERE.
If you are verifying Castle Crashers Steam, the check might tell you that "1 file failed".
Ignore it - this is normal for Castle Crashers and won't cause you any problems.