Reading the responses you've gotten so far actually confused me, and I know the answer to your question!
It has nothing to do with not knowing you're pregnant for the first month.
Pregnancy is measured in weeks from the first day of your last menstrual period (LMP). Average gestation for humans is 40 weeks, with 37-42 being considered "normal."
A month is not 4 weeks, except February, sometimes. 4 weeks would be 28 days, and we all know a month is usually 30-31 days. These extra days add up.
So... I am pregnant now so I will use myself as an example. My LMP was on 10/20/08 and my estimated due date (EDD) is 7/27/09. If you're counting in months, this means I'm due 9 months and 7 days after my LMP... 40 weeks. If months were counted as 4 weeks, you'd be right and gestation would be considered 10 months, but because months are not counted by weeks, but are instead counted by days, it doesn't work that way.
People say "9 months" because it is more easily grasped than saying "40 weeks."
As for women going past their due date, this all depends on your genes, your body, your baby, and a slew of other biological factors. The average gestation for a first-time white mother is 41 weeks and 1 day. The average hispanic woman has her babies earlier and the average white woman who has had babies before goes earlier than the 41 weeks, 1 day time also. If your mother and her mother both had their babies earlier or later than their due dates, you can expect the same, though it's not a guarantee. After all, the father's genes also make a difference, as does your physical build and how fast the baby is ready.
This is why a woman is considered "full term" at 37 weeks, even if the due date is placed at 40 weeks... because it is normal and healthy for many women to give birth as early as 37 weeks naturally. However, some babies are not ready at 37 weeks, meaning that if a woman has her labor induced at this time, the baby could have breathing problems and other signs of prematurity. All babies are different in their development, just like after they're born.
37-42 weeks is considered "normal" gestation.
People say pregnancy is 9 months because when counting the actual days and weeks to "average" gestation, it is closer to 9 months than 8 or 10 months. In all reality, "average" gestation is 40 weeks.