PDF files are mainly intended for printing, so they usually provide graphics in CMYK colorspace. The conversion from RGB to CMYK is never without problems, so especially an inclusion of screenshots etc. might result in very inaccurate colors.

For actual printing, the only acceptable solution probably is the manual conversion of the images into CYMK colorspace, but for PDF files intended only for viewing on screen, pdflatex provides a means to include a sRGB colorprofile.

I think, Adobe Acrobat automatically adjusts the colors of all included pixelgraphics inside a PDF file to match the expected CMYK output. It seems like other viewers, like Apple's Preview don't do this, thus further increasing the confusion.

To be honest, I have no idea, how or why exactly the following code works. But adding this to a latex file results in all included pixel graphics to be displayed as expected in sRGB colors. As I found this somewhere on the web but lost the original URL, hints are appreciated so I can give credits.

 1 \immediate\pdfobj stream attr{/N 4}  file{sRGB.icm}
 2 \pdfcatalog{%
 3   /OutputIntents [ <<
 4   /Type /OutputIntent
 5   /S/GTS_PDFA1
 6   /DestOutputProfile \the\pdflastobj\space 0 R
 7   /OutputConditionIdentifier (sRGB IEC61966-2.1)
 8   /Info(sRGB IEC61966-2.1)
 9  >> ]
10 }

Note that you have to copy an .icm color profile to you working directory (or reference the full path).

Update As someone mentioned in the comments, the source of this 'hack' appears to be at http://compgroups.net/comp.text.tex/Making-a-cmyk-PDF.
Also, since the time I had found this, I've learned quite a bit about the PDF file format. If you are really interested, most of this should be described in the PDF standard (at Adobe.com), as pdfLaTeX is just told to append those PDF-commands to the PDF output.