If you're starting a new job, why would you claim exempt on W-4, wouldn't you be expecting to make at least $950 for the year??

If you make less than your standard deduction and personal exemption (2008-$8,950-filing single)for example, there is no filing requirement.

If you know in advance by doing the W-4 worksheet that your deductions and exemptions will result in you owing no tax, well then, it's better to get that money yourself than have the IRS holding it interest free until you file your return and get a refund.

You can claim "Exempt" on W-4 if you did not have any taxable income in 2008 and do not expect to have any tax in 2009.