A sports sock that's too big will bunch up inside a shoe. At best this will be uncomfortable. At worst, you'll get blisters. A sock that's too small will restrict your foot's range of motion, and will wear out more quickly because your toes will start to poke through from the excess friction during your workouts.
Most socks are sold by approximate shoe size, but if you are faced with small, medium, or large, use your judgment. If the fit is too snug, or not snug enough, try a different size. It's worth the effort to get it right.