You should only “claim” the number of exemptions for your
W-2 withholdings that you expect to claim on your tax return. This means claiming yourself, your spouse,
and any dependents.
Claiming exemptions for your W-2 withholdings by filling out
Form W-4 changes the amount of Federal income tax that is withheld from your
paychecks. When people artificially
inflate that number of exemptions, they may not have enough taxes taken out of
their check and will owe money (and possibly underpayment penalties) to the IRS
when they file their tax return.
There is no immediate penalty for claiming more exemptions
for withholdings than you will claim on your tax return, but it is not
something you should do unless you prefer to pay taxes out-of-pocket with
penalties when you file your return.