One possibility is that you've got the metallic slider turned up to a high value. Check down the bottom right of your ArtRage window. Beneath the colour picker is a horizontal slider labelled "Metallic". Move it all the way to the left as shown in the image below. ArtRage uses a lighting model, and these lights are much more pronounced when metallics are turned on, which will tend to cause colours to generally appear darker.
Also, if you're using the felt pen, there is a certain amount of translucency, so black may look lighter. Enabling the 'art pen' setting ( button on the left tool panel with the felt pen selected ) will make it have a less translucent look.
One other possibility: When selecting a colour, check the bottom right hand corner of the colour picker. This area shows you the colour you have selected. You choose the main colour in the main area of the colour picker, then the lightness in the right hand vertical bar of the colour picker. The result is displayed in the corner. For example, if you chose bright red in the main area of the colour picker, but put the indicator in the right hand bar all the way to the top, it would end up white ( because you chose to make it as light as possible in this case ).
I hope that helps. Let us know how you get on!