I'm in no way an expert, but I have found that if I set my camera to use Adobe RGB 1998 and set my monitors colourspace to the same I get a better match. I use both Lightroom and Photoshop elements 8. In PSE8 I can set the colour settings to "optimise for printing", which also uses Adobe RGB 1998. I can't find that option in Lightroom though.
I don't use online printing services for the very reason that you don't know what they'll come back like. My ancient Epson R300 on its highest settings is a bit slow, but with it set to use the Adobe RGB 1998 profile also I find I get very acceptable results.
I thought, though, that using a professional service would mean that the lab would check the images and ensure that they were printed looking there best, as the old film labs used to do.
Doesn't explain why the jpgs are coming out darker than the adjusted RAW files though. I remember when I used XP's photoviewer that images always looked darker than in Photoshop, and would print dark too if I did it through the XP viewer, so I got into the habit of using Photoshop for printing. I seem to remember something about the default gamma that Windows uses was not the same as the default on a Mac which was why pros preferred Macs...I'm using Windows 7 now though and it seems much better.
Sorry, that was a lot of words without a real answer!
EDIT: have you thought about converting to a 16bit Tiff instead of jpeg? Or even a .DNG file? Does your online printing service only accept jpegs or will they do these other formats?
EDIT 2: Just had a look around, www.theprintspace.co.uk
will do Tiff
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