This is EXTREMELY IMPORTANT to bare in mind for your build...

Whatever your plans say you must take into account the fact that the size of a piece of lumber on paper is not the actual size.

If your plans call for 2x4, bear in mind that the actual lumber is 1.5x3.5
If your plans call for 2x6, bear in mind that the actual lumber is 1.5x5.5

Failure to do so can and will result in you having gaps in your build where gaps should not be.

e.g.

The distance between your posts will be greater than you are expecting if you are basing your build on the "supposed" sizes.
Then if you build your wall section according to what your plans say they may not meet the posts.

There is nothing as frustrating as realizing that you have to fix work that you have already done, or worse, redo it all together.

I'm confused...   

If I go out to buy 2x4, I measure it to make sure it's 2x4 and not anything else.

Perhaps I've missed something?

You have missed something yes....

Standard lumber sizes (here at least) are not what they are described as, take a look at this:

http://mistupid.com/homeimpr/lumber.htm

I've also been caught out by this.

Wall-stud lumber/timber is often of a nominal 2"x4" size (50mm x 100mm in metric countries). But this is usually the rough-sawn size before it's planed smooth. Stud timbers can end up 1.5" thick or sometimes 1.75" thick depending on where you get them. I think some places will even sell planed wood that's actually 2"x4".

Absurdly, in the UK 2"x4"s are often called "50mm x 100mm" when they are actually often 38mm x 89mm! The British have also invented the "metric foot" which is exactly 300mm long. It's quite hard to buy a 1000mm piece of wood here, but 900mm and 1200mm lengths are common place.
Plywood comes in sheets that are 1220mm x 2440mm (which is pretty close to 4' x 8'). Sometimes people even mix measurements, so you get an item that's 6 feet long by 8mm thick (gak!). Metric by degrees...

Crispin

That's dericulous! Why have I never noticed that?   

Seems very misleading...

Yes, P.A.R (planed all round) is usually undersize, unlike it's rough sawn or treated equivelant.  However, if you buy your wood from a timberyard you'll find the sizes are nearer to what they should be than the wood you'll get from a d.i.y store like Wickes(if you're in the UK).  DIY stores don't stock first grade.
DIY stores also tend to stack their timber in an upright position, often bound and sealed in packs.  This does the wood no good and prevents you from looking down the line of each piece to check for straightness.
Decent timber merchants store the timber on the flat, indoors and on shelves, which stops it from warping.  
If trying to get exact sizes, buy your wood oversize and hire a thicknesser or get the yard to run it down to your spec.