A question about exposure

I tend to shoot quite a lot in aperture exposure and with both the D70 and the D2X, a lot of images seem underexposed.
If I open them in either Nikon View or Nikon Capture many appear dark. If I open them in Adobe PS (set on auto) it invariable lightens the image sometimes by as much as one and a half stops.
The question is that when shooting in aperture exposure should the image not automatically be correctly exposed?
If I open them in either Nikon View or Nikon Capture many appear dark. If I open them in Adobe PS (set on auto) it invariable lightens the image sometimes by as much as one and a half stops.
The question is that when shooting in aperture exposure should the image not automatically be correctly exposed?