I think you guys are dwelling a little too much on the mathematical nature of normalization here. I think the OP wanted a more physical intuition to the problem. Since he said that he can, in fact, "normalize wave functions all day", I assume that he knows what normalization means mathematically at least.
Physically, normalization just means that there must be a probability of 1 of finding a particle in SOME state out of ALL the possible states that it could be in. For a continuous observable, like the position of a particle, then the particle must exist somewhere in space (so that you can't get a probability not equal to 1 if you integrate over all of space). For a discrete observable, the probabilities it has in each state must add up, over all possible states, to be 1. For example, if a spin 1/2 particle has a .4 probability of its z-component spin-vector pointing up, then there must be a .6 probability that its z-component points down, as these are the only 2 possibilities.