As mentioned above, and in a little more detail, the issue may be that Photoshop understands color management while most PC based programs do not. So, if you are viewing your shots in Photoshop, and then posting them, and then viewing through a non color management aware browser, you may see color shifts.
This is the Adobe RGB / sRGB issue mentioned above. Please note that converting files to jpg doesn't change the color space, so the greatest likelihood is that you are using Adobe RGB for your images while everything you are viewing the images with after posting is interpreting them as sRGB. This does cause color shifts.
There is a straightforward fix. With Photoshop, you can use the Edit->Convert to Profile dialog to change the profile to sRGB with essentially no color shift (small loss, since sRGB isn't as wide a gamut as Adobe RGB). Once done, you should get more consistent color reproduction in browsers and non Mac computers, although it will still vary, monitor to monitor.
Finally, if you are posting a large volume of images, you can automate this process with Photoshop CS2 at least. Check out File->Scripts->Image Processor, which will let you reformat entire folders worth of photos in one dialog, INCLUDING changing their color space to sRGB! I use this whenever preparing sets of image for web publication.
One caution: the Image Processor doesn't know what to do with images that don't have any color space tagged to them and will stop if it encounters one. So, make sure all images you are feeding to it have a color space tag (all images from pretty much any decent camera are tagged, so this is a minor worrry).