This paper is concerned with the construction and the analysis of Gauss quadrature formulas for computing integrals of (smooth) functions against refinable functions and wavelets. The main goal of this paper is to develop rigorous error estimates for these formulas. For the univariate setting, we derive asymptotic error bounds for a huge class of weight functions including spline functions. We also discuss multivariate quadrature rules and present error estimates for specific nonseparable refinable functions, i.e., for some special box splines.