On my Mercedes, the Empty / Zero mark means just that. So when it says x miles to empty, that's the truth (if you keep driving the way you have been).
On my Ford, the Empty / Zero mark means before reserve. So there is actually 2 gallons left at that point. So the x miles to empty is misleading.
In any case, some folks say don't drive when too low since you may send more settled contaminants through the fuel line, which I am not so inclined to believe. The better reason would be that on an incline, you may experience an issue with fuel actually pumping to the engine. I know that on an uphill slope, my Mercedes flashes low fuel when previously there was an 1/8th of a tank left, and then on the downhill part of the same slope, it corrects itself.
More importantly, in CA, the advice is to always have half a tank in case of earthquake. I don't do that nearly as often as I should, but think I will begin to seeing what has happened on the East Coast.