The globe isn't a perfect sphere, and an accurate model of the globe isn't really feasible in a small consumer-grade GPS. So even when the GPS can calculate accurate altitude (which in general they can't do as accurate as location) it'll still be incorrect. However, the error is in the same range depending on where you live, so it's possible to add a look-up table with correction factors to GPS software (you could, for example, add such a function to MM). Where I live the altitude error is around 38 meters, a few hundred km south of me I'm told it's 43 meters. And so on.

(Altitude in reference to "mean sea level" of course, as described by the earlier posters)