There are two reasons why weather forecasts are inaccurate (this increases to three in the UK).
1. As Tormod pointed out the weather is a chaotic system. Tiny differences in inputs can generate massive differences in outputs. [I believe it has been established that this chaotic behaviour is not consistent. Some of the time the weather behaves in a more linear manner, with the changes thereby being quite predictable, then it reverts to chaotic mode and long term predictability vanishes.]
2. There are often significant differences in the precise weather experienced as we move even as little as half a mile. The weather forecasters are giving a prediction that is aimed at hundreds or thousands of square miles. It has been my experience that you can amend the general forecast to one appropriate to your area with a little practice. Thus, when I hear a forecast for sleet, I know I am going to get snow at my home and rain at my work, and sleet on the drive between them, even though both are separated by only nineteen miles.
3. (For the UK only
) It is a government conspiracy to ensure the principal topic of conversation amongst people in the UK remains the weather, thus inhibiting discussion of failings of the government.
