Images when saved are much duller

Have I got the wrong settings in my Photoshop CS?

I'm making my graphic/icon/whatever, and the colours I choose are really bright and strong, but then I go to save it as a jpg/gif/png, and in the preview, and the actual saved product, the colours seem so much duller - as if the saturation has decreased in the image. You can dramtically see the difference between the image in my photoshop, and the image after I've saved it as a jpg.

Here's an example of what it looks like when I save it where it's much more duller:


I cant show a picture of before when I was actually making it, but I hope this helps.

This is an image of when I took a screenshot of the 2 images. They both are much brighter in real life, but as I saved it it became duller but you can kinda see the difference:



Thanks for any help