Calibration means adjusting your devices so that they adhere to some standard. Profiling means measuring the differences between a device and some set standard; using a profile, you can adjust the output from an input device (camera, scanner) or the input to an output device (monitor, printer) so that the results come closer to the standard. The measurements are stored in color profile files, the format of which is defined by the International Color Consortium.

An ideal digital photography flow should:

• Apply a camera profile to images fetched from the camera in order to correct for deviations in the camera;
• Apply a monitor profile while displaying the image (in your photo editing program, for example), in order to make sure that differences between your monitor and the "ideal" don't make you misjudge the image (or any modifications you make to it);
• Apply a printer profile before sending the image off to the printer in order to correct for the printer's (and paper's, and ink's!) deviations;

Of all these, the printer profile is the most important. Of course, it is also the hardest, for two reasons:

1. Your camera, scanner and monitor all work in the subtractive RGB color space - they are 'similar' so deviations between them (especially because consumer-grade devices all are built according to the sRGB color space specifications) tend to be small. Your printer, however, works in the additive CMYK color space which is completely different from RGB; your printer hardware simply cannot display all the colors that your camera can capture (and it probably can display some colors you camera cannot capture);
2. The output of your printer will vary with papers and inks, therefore, profiling must be done for each printer/paper/ink combination.

Because of the large differences in color response, some software offers 'soft proofing' - it will use the printer profile to show you a version of the image as it will show up on paper; typically, you will see subdued colors because of the smaller contrast range. You can then make final adjustments to make sure that you will like what you print. Soft proofing will save you a lot of spoiled prints...

If you want to calibrate/profile your system, I have a page about calibration and profiling software