I was just wondering whether or not it is worth searching the unmarked buildings on the map. I assume that the marked ones have to do with quests. Should I invest the time and effort to explore the rest?

If you are a thief go for it. Almost everybody has some sort or
treasure in a drawer or chest but watch out for the cops!
http://www.raiderette.homestead.com/...whtbns_wht.gif
http://www.ironworksforum.com/ubb/no...s/Skeleton.gif

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The Blade Makes The Man
The Man Made The Blade
Death To All That Stand
In Their Way! BEWARE ALL!
http://www.usflag.org/animate/flagwave1.gif

since the designers assumed everybody would automatically check out all marked buildings for quest, the unmarked building mostly contain nothing. but then some contains bonus quests, ultra-tough monsters, the best weaps in the game etc. so check them.