I think it is because Google fails to take into account highly advertised keywords located in your targeted keywords.
For example, an obscure set of keywords such as "blue widgets atlanta". It estimates your going to be number 1 by looking at how obscure your and targeted your keywords are, but fails to take into account that anyone bidding really high on the word "widgets" is going to rank higher than you.
Whenever I create an ad group, whatever bid I put in it calculates that I will be No 1. But once it goes live, its not No 1, but almost everything but.
One thing to keep in mind, sammyp, if you are targeting more than a single country:
The estimates that you're given are figured across all countries you've targeted.
And it is not at all unusual, for example, to appear low on the page in the Country 'A' for 'transparent aluminum widgets', while appearing much higher in in Country 'B' - where the market is much less competitive.
AWA
Country 'B' - where the market is much less competitive.
Mmmm... Country 'B'. I'm finding country B to be quite tasty. Lots of people forget about Country 'B' while they have food fights in Country 'A' ;)