A little bit expansion on what Jeff wrote:
the preview embedded in the raw file (not the thumbnail is shown but the preview), about half size, reflects all in-camera settings (WB, contrast, saturation, sharpness, tone). Picture stype is a combination of these.
ACR does not care for these settings, except for the white balance. Therefor the ACR rendering may differ a lot from the embedded preview.
If you want to expose correctly, then you should not use those settings anyway (and use a neutral whute balance tremplate). Then the thumbnail and the embedded preview will look horrendeously anyway and you will be happy with the default rendering by ACR.
Example: 40D Preview with neutral setting
Btw, perhaps it is only my aging eyes, but I find the font in your post painful to read.
I'm 28 and it was painful!
As the others have said, what you first see is the little jpg, same one that flashed up on your screen when you took the photo.
ACR then applies the Camera Raw Defaults for your camera which you are seeing as more washed out.
Keep in mind that RAW files in ACR are not jpg's. It's a RAW file with an absolutely huge range of options as how to process it using the RAW data before it even opens in photoshop. As such you may see the default as bland, however you can change it to whatever you like in ACR so that the image is under your total control rather than the jpg which is pretty much as you get it out of the camera period. That is the point of RAW - YOU decide how you want it to look. That ACR gives you a relatively bland 'default' image is just so you have a good foundation to start with. It's easier to see what potential you image has when you're applying saturation rather than apply desaturation, ditto contrast. It's the way the mind works. It's also important for technical reasons, you won't know what potential you image has information wise if the increased saturation and contrast is giving you a 'curve' which shows an image with far less information than it actually has.
If you really want the RAW image to look exactly like it did in camera before importing into photoshop you've missed the entire point of RAW! Why aren't you shooting jpg's if that is what you want them to be? The idea of RAW is that there is so much more information in your image that you can work with compared to what you saw on screen. You maximise it in the RAW converter so that you have far BETTER data going into photoshop. A file worked in ACR will have far better quality than on worked on in photoshop. Get the best foundation possible before building on it (layers). If you process the RAW file to match your in camera jpgs then your highlights will be as blown as they were in camera, the shadows as blocked, the colours as innacurate. Or in other words going to all the length to shoot RAW just to want a file with no benefit over the in camera jpg doesn't make sense.
However, there is a simple solution. You can change the defaults for your camera! All you do is set up ACR to match your expectations then click on the tiny arrow which is to the right and above of the white balance controls, select 'Save New Camera Raw Defaults' and from now on the Bridge preview will show those settings as standard for all your new images.
I would be careful though. I use defaults but I shoot weddings and I know that I want my shadows set to '2' rather than '5' by default, a certain small amount of saturation and slightly more contrast. I also want a custom point curve that improves facial tones. However, these changes don't fool me as to how much information I have in the image. Partially because they are minor and in most cases actually add more information, but mostly because I've processed RAW images from weddings for 5 years using ACR and have a feel for what is there. To do it the opposite way, to show less information, to compress the histogram, could lead to confusion when you wonder where all your shadow detail went or why some colours in the sky are blown, etc.
Good luck in any case and feel free to use the default font which though possibly boring, is far easier on the eye!