This may not be a WP 'problem' per se, but I have noticed with my own four WP sites as well as every other WP site I've tested (incl. those currently featured on the Showcase page at wordpress.org), that stylesheets are not called when I attempt to print WP pages from my browsers using Mac OS X 10.6.1 as well as 10.5.x.
This issue seems exclusive to WP-powered sites and pages and does not occur with pages using different scripts and containing stylesheets.
I'm wondering if my PC using friends here have the same experience on WP-powered sites: That is, from any WP page, choose to Print the page and then to save the page as a PDF in the print dialogue (or the functional equivalent of that process in Windows).
If we're all (not) seeing the same thing, why do you suppose that is?
Hope that's clear!