I am running Photoshop CS5 and after I download photos from my memory card, 1 by 1 they lose colour intensity and are very dull looking. I download them to Bridge. When I view them on my camera, the colours are very intense and bright, the way I like them, so I feel the camera is set properly.
Check your display profile and make sure it accurately represents your display. If it doesn't, then Photoshop may be incorrectly compensating for your display because of the incorrect profile.
Also, are you using camera RAW photos or JPEG?
RAW photos may have custom attributes attached from the camera maker (that increase saturation, contrast, etc.) that affect the preview, but not the actual RAW data.