There's the whole color profiles thing, which is one of the trickiest areas to understand I've ever looked into. I gave it up, but I'm sure there are still pages and pages of postings on the Adobe User Forums.
Another possibility might be that you're inadvertently using the setting that shows you on a PC what pages would look like on a Mac. Mac view is much lighter... in fact, on photos, I find it impossible to find a setting that will look good on both systems.
I've currently got two main color profiles I use in PhotoShop... a Windows machine emulator setting (for web work) and the printer-output profile for the laser printer we get most of our color brochures printed on.
I've gotten some *really* screwed up batches of brochures in the past, when I forget to change my profile settings. However, if you're regularly designing for more than one output source (print and web, etc.), the hassle of remembering your profiles is more than worth it when you consider the improvements to output quality.