I think the difference is because some data providers us the index high and low and others add up the high and low of each of the 30 individual stocks. As they don't reach a high and low at the same time, there is a difference in the numbers.
a very good website I have found for checking figures is http://www.inverline.com . You have to register (but its free) and it remembers most of your settings every time you log on.
They are far better than www.bigcharts.com imo, as bigcharts can often have the high/low out by as much as 20-30 points in either direction - funny when you look at their chart for that day and see that it didnt move that far anyway...perhaps this is the discrepancy that BigBusiness has mentioned, I dont know.
Here is a chart to illustrate the difference. The candlesticks are of the actual OHLC data for the Dow. The red markers are the high and low from yahoo data, probably calculated the way I mentioned earlier.