We compare the absolute visual magnitude of the majority of bright O stars in the sky as predicted from their spectral type with the absolute magnitude calculated from their apparent magnitude and the Hipparcos parallax. We find that many stars appear to be much fainter than expected, up to five magnitudes. We find no evidence for a correlation between magnitude differences and the stellar rotational velocity as suggested for OB stars by Lamers et al. (1997), whose small sample of stars is partly included in ours. Instead, by means of a simulation we show how these differences arise naturally from the large distances at which O stars are located, and the level of precision of the parallax measurements achieved by Hipparcos. Straightforwardly deriving a distance from the Hipparcos parallax yields reliable results for one or two O stars only. We discuss several types of bias reported in the literature in connection with parallax samples (Lutz-Kelker, Malmquist) and investigate how they affect the O star sample. In addition, we test three absolute magnitude calibrations from the literature (Schmidt-Kaler et al. 1982; Howarth & Prinja 1989; Vacca et al. 1996) and find that they are consistent with the Hipparcos measurements. Although O stars conform nicely to the simulation, we notice that some B stars in the sample of Lamers et al. (1997) have a magnitude difference larger than expected.