Remember also that most browsers set a minimum font size in their options and if that is set higher than 9px (as it probably would be in most cases) then the font size won’t change.
I’d agree with what Alex has said - and the reason for using % or em is that it allows people using Internet Explorer to change the size of the text, which you can’t do if it’s set in px.
I was just exaggerating the font size as i wanted to see if it changed… I was using firebug and it wouldn’t change the font size, think it was a problem with that…