When comparing SECockpit results with the Google Keyword Tool, please make sure you select “Exact Match” - SECockpit only uses Exact Match figures.
To make SECockpit possible, we need to cache data - when you start a new keyword search, we check to see if the keyword is already in the cache. If so, and if it's not older than 30 days, we'll return it from the cache. That explains the differences.
Both, the Google Keyword Tool and the SEOmoz Index get updated about once every month - so usually our cache isn't a problem.