along with what danny asked, i have to ask if you are using layers and flattening all your layers before you try to print?
additionally, printer technology and computer technology did not evolve along the same lines. thus, they dont really 'think' the same way and dont necessarily communicate very well together sometimes. there is a certain amount of compromise that gets done when you send a file from your computer to your printer, or at least potentially so. some folks convert their images to cmyk first, before sending to print. others can explain this better, but it's basically a color palette issue. the range of colors available on the computer is generally far greater than that on the printer and the printer has to translate the palette into something it can recognize and use.
there is a way in photoshop to check your images first to ensure they will print more correctly, but since i dont have photoshop i cant give you the exact details. it has to do with 'gamut' and 'out of bounds' and so on. check your photoshop manual or the photoshop help sites or do a search in here or maybe someone else here will post something on this.
it could also be a hardware/software/ink issue. if your printer is using the wrong inks or isnt calibrated correctly or the software is a bit out of whack or the drivers are wrong, you could also have problems getting the right colors. check your printer manual's troubleshooting guide or if they have an online help/support site, try there.
also, if your monitor isnt calibrated correctly you may be seeing the wrong colors where your printer is seeing the right colors and thus they wouldnt match up. i doubt this is the case though, since you did get some to print right.
you might also try sending one of your files to a friend or post it here and ask someone to print it on their printer and tell you if it came out right. that might narrow the problem down.
oh, and welcome to RetouchPRO
craig