There are only finitely many intervals at any stage, but this says nothing about the infinite limit. In fact, the cantor set is uncountable, as can be proved by showing that the elements in the set are precisely those whose base 3 expansion contains only 0's and 2's. So it can be mapped bijectively into [0,1] by replacing all the 2's with 1's in the base 3 expansion of an element in the cantor set, and looking at this as a number written in base 2 (check out http://en.wikipedia.org/wiki/Cantor_set" if that isn't clear).
The counterintuitive thing is that the set has lebesque measure 0. I'm not going to try to explain Lebesgue measure too precisely, but basically it works like this: the interval [a,b] has measure b-a, and a countable disjoint union of intervals has as its measure the sum of the constituent intervals. All countable sets have measure 0, and it seems at first to someone learning the theory like uncountable sets could be characterized as those with positive measure, but this turns out not to be true.
I'm not 100% sure, but I believe the resolution is that subsets of R with Hausdorff dimension greater than 0 are uncountable, but only sets with dimension 1 have positive Lebesgue measure. The cantor set has dimension ln(2)/ln(3), so it falls in this in between region.