I recall a discussion I had with a fellow econ student on the effects of higher taxes. He said something to the effect of, "Higher taxes are inefficient, and all you need to do to prove that is to draw the graph." (Unfortunately the topic changed before I could point out the problems with this statement.)

This (rather common) view reflects two major problems with modeling (particularly in economics): an amoral value (economic efficiency) becomes a normative value because it's relatively easy to understand and (in theory) measure, and, more relevant as an example for this post, the model is seen as demonstrating reality, rather than vice versa. The model thus becomes a complete way of looking at the world, as it is both normative and the world is supposed to conform to it.

I think a lot of scientists see theory as the highest good: reality is defective insofar as it fails to conform to an elegant theory, rather than the other way around. When expressed this way, it's obviously a foolish idea, but it's an insidious one nonetheless. "I'd be right if it weren't for all those confounding variables!" may be true, but you're still wrong.