Currently i am creating custom settings to store some configuration values. But, i wrongly entered some data in that and the data is invalid. Is there any mechanism like validation rule kind of thing available for this, so that the data entered into it is validated before it saves to database.?
There is no way , you can create a validation rule on the Custom settings.To ensure the data entered is correct in your production Org, You need to migrate the custom setting values using Data loader.
If you really want to build a validation rule then the only workaround is to use a custom object but that means the advantages of the Custom Setting is lost (e.g. SOQL call burning)