Energy efficiency is a key optimization goal for software and hardware in the High Performance Computing (HPC) domain. This necessitates sophisticated power measurement capabilities that are characterized by the key criteria (i) high sampling rates, (ii) measurement of individual components, (iii) well-defined accuracy, and (iv) high scalability. In this paper, we tackle the first three of these goals and describe the instrumentation of two high-end compute nodes with three different current measurement techniques: (i) Hall effect sensors, (ii) measuring shunts in extension cables and riser cards, and (iii) tapping into the voltage regulators. The resulting measurement data for components such as sockets, PCIe cards, and DRAM DIMMs is digitized at sampling rates from 7 kSa/s up to 500 kSa/s, enabling a fine-grained correlation between power usage and application events. The accuracy of all elements in the measurement infrastructure is studied carefully. Moreover, potential pitfalls in building custom power instrumentation are discussed. We raise the awareness for the properties of power measurements, as disregarding existing inaccuracies can lead to invalid conclusions regarding energy efficiency.