Are you saying that when you load a file from ACR into Photoshop, it looks better in Photosop than it does in ACR, or that when you load a photo from DPP into Photoshop it looks better than it does in ACR?
If the latter, know that DPP would use the in-camera Picture Style as your default "starting point", which in anything other than Neutral or Faithful will have more contrast, saturation and sharpening applied and would open as such in Photoshop. ACR and Lightroom show none of these adjustments, just a White Balance/Hue applied with some neutral defaults applied to the other things.
ACR CS4 and Lightroom 2.x do have some Calibration presets that are "camera smart" that you can apply on import or on-the-fly, but they do not equate a Picture Style so much as "soft" changes in how the default image is rendered -- for those things you need to apply some contrast, saturation and sharpening using some combination of the tools provided.