Are you shooting jpg's or RAW files?  If jpeg's, you can adjust the sharpness in the camera's menu.  RAW files will need to be sharpened (unsharp mask) in Photoshop, or third party software and plugins.   A great deal has been written about this topic and if you use the sites search function you'll find several threads discussing sharpness.  Jonathan Wienke has some comparisons of sharpening in this thread.

All digital cameras produce inherently soft images; the difference between a consumer-level camera and a more pro model is that consumer-level cameras apply sharpening to images automatically, pro-level cameras leave this to the photographer. This requires more effort by the photographer, but allows the use of sharpening techniques that would be impractical to do in-camera.

Here is an unsharpened 100% crop from my 1Ds:


Here is the same image after sharpening:


The sharpening technique I used in this example is somewhat complex, (it involves upsizing with S-Spline Pro, converting to LAB color, masked USM on the L channel, and reducing back to original size) and could not be done in-camera. But it allows a greater degree of sharpening without creating image artifacts than any in-camera sharpening can do.

Some pro's want ultimate control and choose no sharpening or RAW format to maximize the image control aspect.  Other pro's, particularly if under a time deadline, choose in camera sharpening to meet their needs.  But one way or the other the pro wants to make the choice, not have the camera make it for him/her.

I saved my pennies and got the Canon EOS 10D and I have noticed that the pictures are not as sharp as my Sony Cybershot 5.0 megapixel camera.  They just seem slightly hazey.  Do I need to exchange my camera or is this just a problem inherrent to this camera that the focus is not sharp?

Virtually all digital cameras produce "soft" images, at least partly because of the anti-aliasing filter. Like Jeff said, sharpening must be applied, and different cameras (and camera settings!) will produce images of different apparent sharpness. You may wish to read this description of a sharpening workflow by one of the designers of PhotoKit Sharpener. Michael recently reviewed the product here.

On the other hand, it's possible that you're having focus issues with your 10D. You might try an experiment to confirm this is (or is not) part of the issue.

Enjoy!

-- Jim

I am shooting jpeg so I adjusted that.  I will go through the work flow articles.  I knew I could sharpen in Photoshop but I didn't know that professional cameras left the fine tuning to the photographer.  The sample photos helped a lot.  That first picture was exactly what I was talking about with the slight fuzziness.  I feel a lot better now.  Thank you.

Jonathan,

your sophisticated sharpening technique raises the contrast strongly, sharpens even out of focus areas and creates halos as well. Is this your sharpening for printer use? I finde you loose much details with your workflow.