When you shoot in Adobe RGB and then use Save for Web, you will always get this problem. Here is an example photo that shows this problem:
Pretty dramatic difference.
To avoid this problem, you need to convert the Colorspace to sRGB before using Save for web. How you do this depends on which version of PHotoshop you are using. In CS2 is Edit | Color Settings and then in the RGB box, choose the sRGB setting (it will have along string of numbers after it). Once you Ok this choice, you will see no change in your photo, but when you do a Save for Web, the resulting photo will look the same as it did in Photoshop.
You can also experiment with the ICC check box in Save for Web. Here is an example of that solution:
So experiment with the two solutions above and see if they don't make a difference.
The other thing I've found, is that it is usually a giant pain in the neck to use the Adobe RGB color space. I always set the camera to sRGB and then one doesn't have to worry about these issues. As long as you have the RAW image, you still have all the data, so you can always go back and change your mind. Here is where (nudity in shot warning-so link only):
Now, if you are using Save As, then you should not get the problem, but it may be that you have something awry with your color settings. Here is what my color settings are for CS2 (nudity warning - so link only):
Lastly, if none of the above solve the problem, then you may not be getting the white and black points correct and also may not be getting the contrast correct. You want to set the white point in the RAW converter using the exposure slider and the black point using the Shadow slider. Then adjust brightness and contrast to taste, but pump the contrast a little for web work. Also be sure to wait and do the sharpening in PS and you generally want a little extra sharpening for some types of photos.