Yeah with my brothers first born he was told boy, but had a girl. I would have thought if anything its more common to make this mistake the other way round, cause its easier to not see something thats actaully there, than to see something thats not, if you know what I mean.
It shouldnt stop you going out and uying stuff though, I mean most stuff is pretty unisex, and you dont want to be getting loads of bay clothes when you dont know how big a baby your having anyway. Like my DS was 9lb 7oz when he was born so didnt really go into any newborn size stuff, so it was all pretty wasted. Just get a few basics in white to get you through the first few days then go shopping for all the cute stuff.
Your only prolem will be if you want to decorate the room pink! In which case if they are not 100% sure, dont risk it, clothes and toys can be returned, ut it you have painted or wallpapered etc a room, you could risk losing a lot of money!