It's only been a recent problem with BMW, but it's certainly not unheard of.
The 3.2L Euro motor (E36 chassis) was rated at a VERY OPTIMISTIC 321 HP....
Most guys who have them figured they were putting out 310-315 max. Not a big discrepancy, but I'd prefer to have a motor that puts out at least what it's rated at, rather than just the best of breed putting out that much.
Porsche has had the opposite problem; they usually underrate power as well, mostly because the insurance issues for their cars are bad enough without considering how much power is actually produced.
However, for both BMW and Porsche, this has applied to their high end products; their mainstream consumer level products tend to be pretty close, if not slightly underrated. (E36 328is and Porsche Boxster as examples).
Ford had this problem back in 98-99 with the Cobra, which is why the '03 Cobra probably is so highly underrated. Lots of people have been getting 365-370 rwhp out of a car rated for 390 HP at the flywheel.
I'm not really an asshole, I just play one on the Internet