Gizmodo goes to LEGO and gives you an article on everything you always wanted to know about LEGO.

Q: Why did I always have pieces left over when I built my castle sets? Do they just do that to jack with kids?
A: For two reasons: first, because some pieces are so small that they weigh too little to be measured by their scale, during packaging (you will see this when I publish the factory tour. J.) Second, because it’s better to have too many of those pieces than have one of them missing. Since we statistically know what pieces may get lost, we include some extras when appropriate.