sketerpot comments on Probability distributions and writing style - Less Wrong
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They're obviously not completely equivalent, but in cases where your measurements form some Gaussian (or similar) distribution, which is very common, the you have the choice of saying things like (to use the water-purifying example), "we're 85% confident it's at least 99.97% pure", "we're 97.7% confident it's at least 99.3% pure", "We're 99.9% confident it's at least 98.5% pure", etc., etc., each of which represents a different part of the curve. Now obviously the most complete answer here would be to say "our data are decribed by a Gaussian of mean X and st. dev. Y", but people don't frequently do that in informal contexts, so how do you reduce it to one claim with one confidence?
Would you go into why that is? It doesn't seem intuitive to me at all. Why shouldn't a relationship improve your life by just a small amount?
My rule of thumb is to say I'm about 95% sure that the true value is within two standard deviations of the mean. It's usually a pretty good compromise, easy to reason with intuitively (try it!), and if your readers actually care about this you can always tack on a little parenthetical note that says "(Gaussian distribution, mean = X, std. dev. = Y)". Or stick it in a footnote, or whatever you can manage without terrifying your readers.