CS4 has moved automatically generated web galleries from Photoshop to Bridge (or maybe this happened in CS3 and I never noticed it). Anyway, now you create a web gallery in Bridge in the Output section. Select the photos you would like to output and then navigate to Output. Choose Web Gallery and go through each section choosing your options.
The problem comes when you need to create your web folder or upload the web folder. Many people (including me) have had trouble with the files actually displaying properly when uploaded to the server, either through Bridge's ftp upload feature or creating a folder they upload themselves.
The solution: Somehow Bridge does not create the permissions properly. My web gallery files are created with permissions for Everyone = "No Access". Unlock the permissions (either using Get Info in the Finder or options in your ftp program) and change the settings for Everyone to "Read Only". Once I reset that, everything works properly.