From this excellent post by Dan dos Santos.
Don’t convert to CMYK unless you are specifically asked to do it. Many printers are now designed to work from RGB files, the CMYK conversion will lose you colours.
If you are dealing with a client that is gang printing your work, and they specifically request a CMYK file, then I suggest using the profile: U.S. Web Coated (SWOP) v2. (unless they state otherwise). To convert an RGB file to CMYK, do not just change the image mode. Instead, go to: Image> Mode> Convert to Profile. Select the appropriate color profile. For best results, be sure to select your ‘intent’ as ‘Relative Colorimetric’, and turn ON ‘Black Point Compensation’.