There are two different purposes for these items. The allowances that you claim on your W-4 form relates to how much withholding taxes will be taken from your paychecks. The allowances on your W-4 do not have to match the number of exemptions on your tax return. The lower the number of allowances claimed, the higher the amount of taxes that will be withheld from your paychecks.
On your tax return, you receive an exemption for yourself (1) which relates to a certain amount your taxable income will be reduced. You also will receive increases for being over age 65 and/or blind. Plus, your spouse (if filing jointly) will receive an exemption amount, as well as your dependents.