I use a number of treadmills at the gym, and I notice that many of them are not calibrated the same, as the perceived effort at the same speed settings are completely different!
As mentioned before, the TM tends to soak up some of your energy when the treadmill belt deforms to your footstep versus when you run overground. Additionally, it tends to be a lot hotter indoors on a TM than outdoors, and heat buildup is a huge limiter in distance running. You might want to consider cranking up the air conditioning and aiming a fan at yourself when you run on the TM indoors.
Another consideration is the length of your warm up. It takes a little bit of time for your body to warm up the muscles and increase the blood circulation needed for running. When you run outside, you probably unconsciously start out slow to warm up, but indoors on a TM, you may ramp your speed up much quicker which makes for a much tougher effort. When you start out too fast, it saps a lot of your energy, and going too fast early is detrimental to the rest of your run -- similar to going out much too fast in a race.
Edited to add: Even with these problems, I still think running on the TM can be a great part of your training. Last year and this year I did a whole bunch of long runs (18 miles or longer) on the TM and ran a terrific marathon past February. I personally like it for adding in variety in training terrain, as most of my running is on pavement, so running on the TM lets me do some running on a softer surface and helps with injury avoidance.
http://This message has been edited by milkbaby (edited Nov-07-2007).