1. The Watch can only measure distance in one of two ways: it via GPS from the phone, or by estimating from your stride length and number of steps
2. If it uses the GPS on the phone, the the phone and the watch have the same data
3. It may be that the Workout app uses a different formal from (say) Runkeeper, and so comes up with different distances. In my case, the two apps are very close to each other but not identical
4. If, for some reason, the watch has no GPS data to work with (your phone isn't with you; there is no GPS reception because of buildings or trees), the watch will attempt to calculate your distance from your stride length and number of steps. Your stride length may vary quite substantially for different reasons (changing gradient, changing terrain underfoot, fatigue, injury, time of day ...) and so the watch calculation my be quite wrong
5. And, finally, the watch software is at version 1.0, and so may well need to be refined. Having said all that, mine seems pretty OK, but that might be luck
Please report your concerns at the Apple feedback pages (link below) - the more of us that do, the more likely Apple is to respond.
http://www.apple.com/feedback/