Alright, well, I'll start with a disclaimer that all I really know about color calibration is the difference between RGB (additive color) and CMYK (subtractive color). Beyond that, all the different color profiles and settings specific to either of those two formats make my head spin, and I generally just have to experiment until I get things the way I want them. So, there's your fair warning both about my expertise (or lack of it) and how confusing this whole process can be for some people. So don't worry if someone more knowledgeable than I comes along and gives you information about this stuff that conflicts with what I'm about to say. They're probably right and I'm just a noob.
Anyway.
Launch System Preferences > Displays > Color.
Here, you should see under "Display Profile:" a name for the color profile your system is using. If you're happy with the way your monitor generally displays color, DON'T MESS WITH THIS (at least not right now) unless you want a headache. Just know that this is here. If you ever need to calibrate your monitor (just because, personal preference) this where you would do it. If you ever need to match your color to another monitor, this is where you could import the color profile for the other monitor. All you need to know RIGHT NOW, though, is that this window exists, and is tied to what we're going to do next.
Launch Photoshop. I use version CS3, just for reference (in case any of these directions don't match up with your version).
Go to Edit > Color Settings.
Under Working Spaces, look at RGB:
This is where you'll experiment the most. The goal here is to set Photoshop's color profile to something everything else on your computer is using. It might currently say something like "Adobe RGB" or "Apple RGB" or "sRGB IEC61966-2.1". These are standard profiles, and while there's nothing wrong with them, they might differ from the color profile your monitor uses. However, if you remember your profile from above, you might notice you already have these set. If my theory is right though, the profile you have set is NOT the same as the profile your monitor is using.
So what are you looking at exactly, and what's happening here? OS X generally uses the profile in System Preferences to intepret what your monitor displays. Photoshop can, however, display a different profile from the system default. I'm sure I could think of why this could be useful, especially in a professional workflow where you deal with a lot of clients who use a lot of different unique color settings, but I can't think of a specific example right now. But this is, as far as I can gather, why it works this way.
If your head hasn't exploded yet, you now have two options: 1.) Change your monitor color in System Preferences to match Photoshop's setting, or 2.) change the Photoshop setting to match your monitor color.
What did I do? I changed Photoshop. The easiest way to do this is to choose, "Monitor RGB - <name of the color profile in System Prefences>".
This, for me, seemed to be the least detrimental route. If you change your monitor color instead, you might open up a file from a year ago and find you hate it. Now that works for me because my monitor color is already a pretty close approximation to sRGB, with only minor differences that come down to personal taste (brightness, contrast, saturation) (you should probably do your own research in picking between sRGB, Adobe RGB, or Apple RGB -- I admit, I don't really know the difference).
Also, the best way to know if your current monitor color isn't retardo-crazy is to look at your art on other people's monitors (not just one, because your neighbor/brother/cousin might have a retardo-crazy color profile of their own). This is probably a worthy exercise for you in particular, Silver, since I think you're involved in desktop publishing (right?). I doubt yours is way off or bad, since your sprites look amazing on my monitor, but still.
In the end of all this, try transferring to GameMaker however it is you normally transfer (import, copy and paste, whatever the options are these days).
See if that fixed the problem.