Like I said, I gave up on Photoshop - but I'm good with Macromedia Fireworks. Here's how I extract my own critters. Please note that the menu names might be slightly different, since I am working with a German version... but you'll get the point.
This is how my photo looked first, next to it is the end result:
All I actually did was extract the monkey, added a tad sharpness, and then adjusted the lightness and contrast.
Finding the edges
Some programs have a so-called "magic wand". I never use that one, because it will only get you ugly edges. When I want to extract something from the background, I work with the pen tool
Every time you click on a spot, you start a new edge for a vector form. It takes some time, but it doesn't have to be perfect, because we need to do some more anyways. Here's the first vector form:
Each of the blue blocks indicates where I clicked with my little quill. It's still very rough, but we'll work on that.
With the vector selected, I go to Modify -> Change path -> Simplify. I usually stick with 4 for the simplification, but you can try different settings.
Adjusting the vector
The vector still needs to be adjusted, because it isn't quite covering the edges yet - this is easiest done without fill and a 2px line. When smoothing, you automatically added those little handles that curve the vector. To adjust the curving, hold Alt while clicking on the end point and moving it.
Play around with this, it is actually really easy once you get used to it.
Extracting the image
Once you are happy with the vector, go to Modify -> Convert path to selection mask. You can then cut out the image and paste it again. It is now separate from the background, which you can hide or delete. If the canvas is white, you are almost done.
Is it a tad blurry? Then you can sharpen it with the filter window in the right corner. Sharpen some or more, depending on the size of your image.
Adjust highlight/ color
Usually, it is also helpful to adjust the lightness and contrast. Again, this is done through the Filter option -> Adjust color. Play around with it till the image looks like it does in real life.
I usually add a shadow (again through the Filter) if I have a light image on a white background.