I've noticed the same problem - - I thought it was just me and my ignorance. Your post motivated me to look into it and based on what I've read on Adobe's site, the problem isn't really a problem so much as "the nature of the beast".
When editing images in Photoshop using color management, you (of course) are viewing color-managed pixels. When viewing images in a browser, there is no color-management, thus a color shift is perceived. Similarly, the "Save for Web" interface does not use color-management because .gif and .jpg images do not store color-management information - - thus the what-you-see-is-not-what-you-save color difference.
I don't see that there's an easy resolution short of not using color management. If that's not a viable solution, here's a good tutorial on all the nuts and bolts of color management:
http://www.computer-darkroom.com/ps7-colour/ps7_1.htm