This is just my quick $.02 worth on this, but I actually use the sRGB all the way around. As gldiana mentioned, the Adobe RGB does have a better color gamet, however the two places where I have my prints done are both using the sRGB for their print equipment. In a small nutshell, when I was using the Adobe RGB on my system here at home, I was noticing that there was definitely a subtle difference between what I saw on my monitor and how my prints came out. By using the sRGB at the camera and on my system, along with the printers, I get consistency all the way thru the process...no surprises.
In my opinion it pays to talk to the folks at the lab where you're going to have your prints done and find out what they are using (assuming you're not printing your own) and work your way from there. I have had some serious problems because of the printers using different profiles...Ritz camera for example...every time they upgraded their kiosk software, they changed their color profiles and I ended up with things like green kangaroos and such and my selective color shots were really screwed up (and they charged me for their mistakes to boot).
Yes, there is this tendency to want to produce things at the highest quality with the most colors etc., etc., but remember that your "work flow" is only going to be as good as the weakest link in the chain. With that said, if your printer's don't support the Adobe RGB (which they probably don't), you'll get better consistency if you use sRGB (or other) on everything.
One other thing that I would like to mention that may or may not be an issue here is the monitor. I believe Chris said he was using a newer Dell LCD...now this could just be me, but I can't work on graphics on an LCD. I simply can't achieve the same results that I do with my ol' 19" Philips CRT. To me, brightness and saturation just never look the same on an LCD as they do on a (good) CRT. In either case, if the same profiles are indeed being used, system and camera, then I would suggest the monitor itself could be the problem. I would mention however that I find what I see on the back of my camera to be veeeeerrrrrrry subjective. With camera LCD's, how bright or saturated an image looks really depends on the ambient lighting and such. For example, there is a tendancy to under-expose an image at night based on what it looks like on the LCD because the LCD is bright. The opposite applies too...if you're shooting in bright sun light and you're basing your exposures on what you see on the LCD, there will be a tendency to over-expose because what you see on the LCD looks "washed out" in the brighter light. In extreme lighting, I strongly suggest using the histograms as a reference for correct exposure rather than "how it looks" on the camera's LCD. I find that a camera's LCD (even a large one) is good for framing references and seeing if the shot is really out of focus (and reading your menus of course), but that's pretty much it.
Again...just my $.02...