After making an image with photoshop, I noticed it can change quite a bit in color based on which settings you chose.

What color profile do you use when working on your images?

To save for use in games (i.e. use with libjpeg, libpng) do you go to "save for web and devices"?

To export do you keep the "convert to sRGB" flag checked?

I'm kind of puzzled by all these options.

Yeah, I often use the save for web thingy, especially for jpegs. PNGs don't really matter too much to me since I almost always re-compress them using Preview, so that the extra Photoshop header gets stripped out (Xcode will automatically do that for iPhone BTW). I don't remember what settings I use in save for web though; usually just whatever compresses best and looks best.