You need to make sure when exporting for web it's in sRGB colour space.
As the majorty of people viewing are using non-colour managed browsers, if you want your work to look its best sRGB is the way to go.
In PS when using Save For Web, this is why it automatically converts to sRGB for you. In CS3 + CS4 that is.
In LR's Export dialogue box, you need to choose the sRGB option and your problem should be sorted.