Is it true that our votes don't count, only electoral votes?

Your vote helps to determine who your state's electoral votes will go to. In all but 2 states, it is winner takes all. Whoever wins the electoral vote becomes president, regardless of the popular vote. Al Gore won the popular vote, by quite a bit, like 600,000 votes, but Bush won the electoral vote. I am not sure how often that has happened, but it doesn't seem right, does it?