Kerry's right, too.
Make sure that you're using the right printing profile in the print settings. I have downloaded the profiles from the Epson site and I make sure to select the one for the paper I use. I also make sure that Photoshop manages the colors and that Color Management is turned off in the Print Settings (this is for an Epson R1800). Every printer will be different. If you're using CS4, that's another issue, too. My monitor is calibrated and prints nearly perfect from CS3. When I print from CS4 using the same settings, they're much too dark. Turns out the drivers aren't compatible for some reason. So, I create in CS4 but when it's time to print, I open the file in CS3. Fun times.
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Cassie
My Gear: Nikon D300s w/18-200mm VR & 50mm 1.4
Software: Adobe Photoshop CS4, PSE 10, Lightroom 2