Have you ever calibrated your monitor?
One of the big surprises many users get is that press output is not bright like a monitor screen turned way up. Of course it's also possible the printer is using a different profile than you are, or maybe he's just using too much ink, but the first step is to calibrate and profile the monitor (buy a colorimeter and do it right -- don't depend on "eyeballing" it) so you can trust what you see if you have an accurate output profile.
I've just sent a job to press today that had problems in the greens -- the proofs were darker and a lot cooler than my monitor was showing. I recalibrated and still not quite a match, which I attribute to the monitor more than anything, so I ended up turning down the brightness and making a seat-of-the-pants adjustment before asking for another proof, which came out fine, but the lesson here is you only have control on your own projects, not on ads that go in someone else's publication, and if in doubt, shoot for a little too light on screen. Between the monitor probably being too bright and the possibility of too much ink on press, your'e usually better off if your ad prints a little too light than if it prints so dark your viewers can't make out the shadow detail.
its one of those "how long is a piece of string" questions.
as pete said, colour calibration with your monitor may be a factor, but there are many other items to consider, such as:
* the quality of the light in the room in which the monitor is in;
* whether the images being printed are beyond the max ink weight for the paper (an uncoated stock will have a lower max ink weight than a coated stock)
* what RGB-CMYK conversion is being used. to demonstrate this, try this - take an RGB pic, make it CMYK using the SNAP newsprint profile and save it as 1.tiff. then, go back to the original RGB pic and make it CMYK using the COATED FOGRA 39 profile and save it as 2.tiff. now, place both pics into indesign and go to the seps preview and compare the picture qualities side by side.
there are also issues which may be present at the printer's end, but I won't speculate as to what they may or may not be doing. instead, it is worth having a chat to your providers. Providers interested in your work normally take the time to provide as much information as they can.
it seems to me that if images are constantly coming out darker, that the max ink weights for the stocks being printed on are being exceeded. when submitting ads/prints, are you using the ink limit preview in the seps preview panel and checking it against the max ink weight suggested by the publisher or printer?
my buck o'five.