ProPhoto RGB is the widest of all RGB colour spaces---but that does not mean it will lead to maximum colour printing capabilities (except when you have a printer which natively covers ProPhoto RGB, which you haven't). Using ProPhoto RGB as the working space makes sense when working from raw but doesn't when working from JPEG.
Shooting in JPEG format, in turn, makes sense only when 1) ease and speed of processing from camera to web or print, or 2) memory usage on limited card space, or 3) both are of paramount importance. Otherwise, better shoot raw (or Raw+JPEG).
When shooting JPEG then use sRGB or Adobe RGB as the camera's colour space and as your image-processing working space. Use sRGB when your target is web or digital images on CD for end users; use Adobe RGB when your target is prints or digital images on CD for expert customers. When in doubt or when working for both kinds of target, use Adobe RGB but don't forget to convert to sRGB eventually when appropriate. When shooting JPEG, you must take a decision as to which in-camera colour space to use, you should avoid unnecessary colour space conversions as much as possible (in other words, in-camera colour space and working colour space should match), and you should never convert from a smaller into a wider colour space.
-- Olaf
