I recently purchased a Polar F4 HRM. I love it, but wow, I was shocked when I first used it. It beeps at me when I'm above my target HRM which is like 50% of the time. It's never by much - I'm usually around 86-88% target heart rate. But when I slow down to get back in the zone, I feel like I'm not working hard enough. I double and triple checked my settings to make sure I didn't screw anything up and everything looks right.
I'm also kind of shocked at the calories burned. For 30 minutes of exercise it said I burned 300 calories. I checked this on the calorie burning site I use (self.com fitness calculator) and the fitness calculator said 307, so at least it's consistent and leads me to believe it's accurate.
Anyway, my main question is, did you find yourself working too hard and slowing down made you feel like you weren't working hard enough? Just for kicks, I left my HRM on after I left the gym, made lunch and ate it. In an hour and 15 minutes I had burned 630 calories (including the 30 minutes at the gym). It's just interesting to see, but I guess I'm just having a hard time trusting the calorie counter.