This means that if you do something (like make a cake, or learn a language, or anything at all!) you should always try your hardest and do the best you can. Otherwise the results won't be good enough, and you will know that you can do better.
There are a couple of slight variations you will hear-
"Anything worth doing is worth doing well"
"If you're going to do something, do it well"
Or one that is a kind of joke, a quote from Mick Jagger-
"Anything worth doing is worth overdoing!" (So if it is a good thing, then do it LOTS!)