AdobeRGB has a wider gamut than sRGB but unless you've pretty much got an expensive monitor you won't be able to take advantage of this wider gamut. The majority of monitors hover around the sRGB range even without calibration as this is what, until recently, most web browsers could display. So generally speaking an amateur or someone relatively new and not having a clue/confused with all these various colour profiles, can't really go wrong by sticking with sRGB - at least in the beginning.
Quite often, certainly in Canon handbooks, it will actually state that colours will be subdued when shooting in AdobeRGB and that it is intended for the professional/keen amateur who is prepared to post edit their images etc. In fact, if you think about it logically it actually displays on the camera LCD 'duller' (as was noted) more than it really is because the cameras LCD is set up for sRGB.
However, just to repeat - whether you choose to set the camera to sRGB or AdobeRGB or what have you only applies when shooting in JPG mode - RAW's don't have a colour space until one is appended in the rendering process. And no, the thinking of AdobeRGB and Adobe software is a bit off the mark - it is all to do with what was the industry standard and commercial printing a while back but that's another story.