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Is it necessary to redirect every Error page (404 or 500) found?
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If I have Hundreds of pages with 404 and 500 erros should set up 301 redirects for all of them? Some of the pages have external links, some don't.
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There are a few reasons this can happen. Each tool crawls the web at different times and see different things. I would recommend at least investigating any issues you find regardless of which tool you used to discover it.
Personally, I would pay good money for a tool from Google which used their algorithms and data, but that isn't an option so we do the best we can with the available tools. Google WMT and SEOmoz crawl reports are two parts of that solution for me.
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Josh- I'm of the opinion that there is no tool in the wild that is consistently accurate, in any regard, including detection of 404 errors. There are a number of things that can cause one tool to detect an error, while another won't. Personally, I compare the results of all the different tools I use, and hopefully find a consensus. Failing that, I double check with them all, and look for consistent results. If nothing changes, you may just have to "consider the source" and decide in which tool you have greater confidence.
Not much help, I realize, but sometimes that's just the way it is.

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Thanks-
Some of the errors came from Opensiteexporer, but are not in Google webmaster tools. What do you think about this?
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500 errors should not happen. I would recommend determining the root issue and resolving it.
404s are a natural part of the internet. There is nothing inherently wrong with your site having some pages that offer 404 errors.
With that said, I recommend taking any pages with value that 404 and 301 them to the most appropriate page on your site. It will allow your link juice to be retained, and offer your users a better experience.
I would also recommend offering a soft 404 error page that offers a site map or other navigation help.
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