Since both the camera and your computer are displaying the same file, the problem likely isn't in the way your applications, EOS Utility 2 and Lightroom 3, are handling the files. The issue is most likely in the way the camera's display system and the computer's display system are handling the files.

You can't do much about the camera's display system, other than increasing/decreasing overall brightness. I've often said that a camera's LCD will "lie like a politician!" The manufacturers seem to be most concerned with making photos taken under very poor conditions in retail outlets (when you're shopping for a camera) look as good as they can make them look, so they tend to set the displays to over saturate colors, push the contrast, and apply a lot of sharpening. It is also the case that almost any photo will look better when downsized to about 1MP and displayed on a 3" screen than when displayed at higher resolution on a larger monitor.

On the other hand, you can have much more control over how your computers Graphics Processing Unit (video card), the software that drives the GPU, and your monitor display that file. Please see What are Color Profiles and where would I find information on using them properly? for more about how to manage your computer's display.