The importance of recommendations varies by industry and by where you are in school. In graduate school and as a post-doc, you've worked with your PI for many years, and he or she knows you pretty well. Also, your PI has a reputation which an employer might recognize. A PI recommendation is going to count for a lot because the relationship has been very close.
As an undergraduate, though, the recommendation isn't as important, unless you've had a chance to work really closely with someone. Of course, it never hurts to have a great recommendation. If you do all the other things I'm suggesting below (like getting involved in clubs and activities and cultivating mentors and contacts), I think that good recommendations will come your way, as a side benefit.
Note to grad students/post-docs: What do you do if you have had 'challenges' with your PI, given the importance of that recommendation? I can offer some advice. One, if your PI has a reputation as being difficult, then you can count on employers to take that into account. Also, if you can get some of the other members of your committee or department to write supplemental recommendations, than can help. Lastly, most PIs are fairer than you think - and will write a balanced recommendation. You may be asked about the challenges in your interviews, so have something constructive to say (ie not 'he was a total jerk).
