Color is completely subjective, and looks different across devices. Different ambient lighting conditions also affect the perception of colors — daylight, tungsten, and fluorescent light all add shifts in color appearance. Type of paper (for example, newsprint versus magazine), age or type of monitor, and software interpretation of color values all affect differences in color appearance. Even variations between batches of paper or inks can affect color perception. Add to all this the fact that the human eye — flexible and adaptable thing that it is — can quickly adjust its perception of colors in an image so that you become accustomed to color shifts, and you'll realize that it can't be trusted.
So where does that leave us? Color management, that's where. The first step to a color-managed workflow is calibrating your monitor using either software or a hardware device. Follow that by adding color profiles that describe how color will appear on the various output devices you'll be using.
Next, you'll want to set up color management in your Adobe software (and other color-aware applications). You can preview the way images will be output by using the proofing options available in Photoshop and other Creative Suite applications. Finally, you'll want to ensure that you're saving your color management information along with your documents, and when printing or outputting images for the Web.
The path to consistent color ...