Their testing is done in very strict environments, in a closed room with monitored and metered conditions. Just like EPA gas mileage testing, which is not done on actuial city or highway roads, and is NEVER accurate, the "real-world" reality is that nothing performs the same in the real world as it does in a closed or monitored labratory.
My cobalt ss-sc had an epa rating of below 40 MPG, however Cruising on the highway at 95 Kpg, I get 45 MPG rating on my car's gas mileage computer.
They don't test for long term durability either. That's another reason so many lemons hit the market.
On the unrelated EPA note, if you look at their website or your new car sticker it shows the range that you can expect for city, highway, and combined MPG. While you might not get the large number posted and advertised, it's nearly certain you'll get something in the range.
I also had a Cobalt. Regularly got over 40 MPG on the highway on long trips. Under rated car really.