How to retrieve closest value based on look-up table?
A couple of queries tested and optimized for Postgres 9.3. All return the same, all are basically standard SQL, but no RDBMS supports the standard completely.
In particular, the first one uses a LATERAL JOIN, which is missing in Oracle or MySQL. Test which performs best.
All of them use index-only scans on the lookup table in Postgres. Obviously, lookup.nominal_value needs to be indexed. I suggest to make it UNIQUE because it seems like the column should be unique, and because that also creates the all-important index automatically.
LATERAL JOIN
SELECT m.id, m.measurement, l.nominal_value
FROM   measurement m
JOIN LATERAL (
   (
   SELECT nominal_value - m.measurement AS diff, nominal_value
   FROM   lookup
   WHERE  nominal_value &gt;= m.measurement
   ORDER  BY nominal_value
   LIMIT  1
   )
   UNION  ALL
   (
   SELECT m.measurement - nominal_value, nominal_value
   FROM   lookup
   WHERE  nominal_value &lt;= m.measurement
   ORDER  by nominal_value DESC
   LIMIT  1
   )
   ORDER  BY 1  -- NULLS LAST is default
   LIMIT  1
   ) l ON TRUE;

All parentheses required for UNION. Related answer:
Postgres 9.2 select multiple specific rows in one query
Correlated subqueries in a subquery
SELECT id, measurement
      ,CASE WHEN hi - measurement &gt; measurement - lo
         THEN lo
         ELSE COALESCE(hi, lo)  -- cover all possible NULL values
       END AS nominal_value
FROM (
   SELECT id, measurement
         ,(SELECT nominal_value
           FROM   lookup
           WHERE  nominal_value &gt;= m.measurement
           ORDER  BY nominal_value
           LIMIT  1) AS hi
         ,(SELECT nominal_value
           FROM   lookup
           WHERE  nominal_value &lt;= m.measurement
           ORDER  by nominal_value DESC
           LIMIT  1) AS lo   -- cover possible NULL values
   FROM   measurement m
   ) sub;

Correlated subqueries in a CTE
WITH cte AS (
   SELECT id, measurement
         ,(SELECT nominal_value
           FROM   lookup
           WHERE  nominal_value &gt;= m.measurement
           ORDER  BY nominal_value
           LIMIT  1) AS hi
         ,(SELECT nominal_value
           FROM   lookup
           WHERE  nominal_value &lt;= m.measurement
           ORDER  by nominal_value DESC
           LIMIT  1) AS lo
   FROM   measurement m
   )
SELECT id, measurement
      ,CASE WHEN hi - measurement &gt; measurement - lo
         THEN lo
         ELSE COALESCE(hi, lo)  -- cover all possible NULL values
       END AS nominal_value
FROM cte;

Nested correlated subqueries
SELECT id, measurement
      ,(SELECT nominal_value FROM (
         (
         SELECT nominal_value - m.measurement, nominal_value
         FROM   lookup
         WHERE  nominal_value &gt;= m.measurement
         ORDER  BY nominal_value
         LIMIT  1
         )
         UNION  ALL
         (
         SELECT m.measurement - nominal_value, nominal_value
         FROM   lookup
         WHERE  nominal_value &lt;= m.measurement
         ORDER  by nominal_value DESC
         LIMIT  1
         )
         ORDER  BY 1
         LIMIT  1
         ) sub
         ) AS nominal_value
FROM   measurement m;

SQL Fiddle.