This is probably down to calibration of your monitor being out and what you see on the monitor not being a true representation of the image. For instance if the contrast is too high on your monitor what looks like a good image on the monitor can look very flat and soft when printed out. Try something like Adobe Gamma to calibrate your monitor by eye or invest in a calibration system like PANTONE huey and you should start to see a better match between your prints and what you see on screen. Also make sure that your images have your workspace colour profile embedded when you save them because without it the printer will not know what to match the print colour to. When you print to your own printer this will most likely be applying some enhancements that make the images look more like your on screen and you are most probably printing from your editing software which negates colour profile missing in your saved image. Check your printer settings to make sure that options with names like 'Vivid' are not selected and that it has a colour profile set up for it. Set it to sRGB if that option is there. Your commercial printing shop will tend to print exactly what you send them because the file is all they have to go on and their print process will be calibrated to reproduce to universal standards like sRGB.