Different internet browsers will handle color management differently. For example, Windows Internet Explorer does not honor embedded profiles inside images, but Firefox does.
Here’s a page that gives a lot of information about this, including tests to see what your browser is doing with your embedded profile. You just roll over the images with your cursor and click with your cursor and see if there are any color/density changes.
http://www.gballard.net/psd/go_live_page_profile/embeddedJPEGprofiles.html#
It is usually considered a good idea to convert your images to the sRGB profile if you want to provide the best opportunity for them to be viewed correctly online. In Photoshop this is Edit > Convert to… That way, the image is already in sRGB space and you don’t need to have a profile embedded and hope that your viewers have the correct browsers to see it.