You have to remember that the guage only reads whats in the tank and there is a pipe, fuel filter, fuel pump and injection system still full even when the tank is actually empty. I've had my bike running for about 5 mins without the fuel tank even on it! (stupidly when it did cut out I couldn't work out why
)
As for running it dry, its not as big a problem on petrol cars but don't do it in a oil burner; the fuel acts as a lubricant and its important to keep the fuel system primed. Never run one dry myself, but apparently its makes a mess and costs a bit to fix
In fact, I think the oil burning fiestas even have a system that stops you running dry!