Are you using identical settings for your colour management in both
applications? To be sure you are, from Photoshp's Edit>Colour Settings d/box
SAVE your colour settings to a colour settings file (.CSF) and in
Illustrator's Edit>Colour Settings d/box LOAD that CSF file
Maybe you're using a different version? In photoshop my color settings are under the file menu and I don't see any option to save a .csf file.
Matt
What version of Photoshop are you using?
PS 6 and 7 (and possibly 5.5) have color settings under the Edit menu.
=-= Harron =-=