All languages have dialects, but there tend to be "major" dialects (e.g. For English, Canadian/American, a few of the British accents could be considered as the main dialects to consider learning (there are others, this is just an example)).
With Spanish, it seems like there are many more major dialects. For that matter, it just seems like there are more dialects in general. That said, is proper pronunciation really that important, given that so many people speak in so many ways, all of which are native to different regions? Along these lines, is it incorrect to combine features and 'make up' a dialect (e.g. pronounce 'll' the way Argentinians do and 'z' the way Spaniards do)?