I helped one of the members recently with this, so I thought a tutorial might be in order.  I'm going to constrain my discussion to the two most common color profiles: SRGB and Adobe RGB. RGB stands for Red, Green and Blue.  For Web work, SRGB is the profile of choice.  For work that you're going to print, Adobe RGB is better.  The pictures below will show you the differences between the two.

Here is a three-dimensional rendering of the SRGB color space with black in the center. Here is the same view of Adobe RGB.

Now look at a three-dimensional rendering of the SRGB color space with white in the center. Here is the same view of Adobe RGB.

What you can see is that the Adobe RGB color space is much larger, providing richer detail.  That's why it's a great choice if you're going to print the images.

I have my camera (Nikon D70) set to capture images in Adobe RGB.  Many of you may also be able to set the color profile that your camera shoots in.  However, there's a twist.  If you don't convert the color profile to SRGB before posting to the Web, the results look flat and lifeless.  Here are a couple examples.

This is a recent image shot in Adobe RGB and uploaded as Adobe RGB. Here is the same image converted to SRGB before uploading. Do you see how much more color there is in the cheeks of the girl on the left in the SRGB version? I'm not exactly sure why this happens but my guess is that the portions of the Adobe RGB space that are outside of the SRGB space get clipped somehow.

If you use Photoshop you can convert color profiles.  In fact, one of the slickest things about CS2 is the Image Processor command.  You get at it from the from the Tools menu in Bridge. It then opens up Photoshop to start the engine.  If you've already got Photoshop open you can access the Image Processor from the File...Scripts menu path.  Here is the dialog box that opens up. There is a check box to tell it to convert to the SRGB color profile. You can also resize the image and convert it to jpeg at the same time.  You can run the Image Processor on batches of images.

I've used iPhoto and Photoshop Elements 3.  Near as I can tell, neither of those allow you to change color profiles. They basically work with what they're given.

So here's my advice.  If you're planning to print images and you have Photoshop then I'd work in Adobe RGB and convert to SRGB for posting on the Web.  If you don't have Photoshop I'd stick with SRGB.  If your camera allows you to set the color profile in which you're shooting all the better.  Chances are if you've not changed the color profile setting on your camera, you're shooting in SRGB.

Hope this helps someone.