Depends what system is used as reference, most used now is WGS-84 (world geodetic system 1984) but there are a lot of others possible. When you have coordinates that use WGS84 reference and plot it on a map with for example ED-50 (European Datum 1950) there will be some position error.
By the way you can change this reference system in your GPS.
Click on the following link for more info on this subject:
http://en.wikipedia.org/wiki/World_Geodetic_System
Some more info here:
http://home.online.no/~sigurdhu/Deg_formats.htm
Greetings, Bart