No they really really don't... at least not in terms of volume, which is a common misconception amongst most.
Well to start with manufacturers often quote "peak" watts - which are what speakers can handle for very brief periods of time without distorting, around 10ms - instead of the RMS level which is what they can handle continuously. Many people know that and think they know it all, but that's just the start of the issues! Even if they quote RMS there's lots of problems, some manufacturers have recently taken to quoting the wattage at 10% distortion or worse which would be appalling to listen to by anyone's standards...
Again, a few people realise the above, and may be reading this thinking they know it all already and they only look at RMS figures at low distortion levels, so can't go wrong. Think again. Far less commonly understood is that even if manufacturers all quoted RMS wattage at say a distortion level of 0.01%, it STILL wouldn't mean anything. Watts is a measurement of how much power a device uses, it's not a measure of volume. So if you're looking for how much current your amplifier will draw under maximum load then yes - watts are what you need to look at. Otherwise nope.
It really all comes down to how efficient your cabs / amps are, a top end efficient box can output stupidly loud, clean sound operating at around 200W RMS. Much, much louder than say a super duper 1000W home cinema system. Anyone that's used D&B stuff will know what I mean, this is absolute top end touring grade sound stuff - not to be sniffed at in terms of sound quality, volume or price! On the other hand, these "brilliant" Bose-like home cinema systems that operate at 1000W and above will be rather quiet in comparison simply because they haven't been designed to the same level or specifications. Not necessarily a bad thing in itself, to design something that's going in your living room to the same standard as something that's being used on the main stage at Glastonbury would be overkill - but it does prove the very important point that even RMS wattage quoted at reasonable distortion levels means very little when comparing products.