Photoshp CS6 finally brings introduces dotted lines/strokes and a line tool (oh happy new world!! ;-) The strange thing is that when you use the line tool (U) it actually creates a vector rectangle. So adding for example a dotted stroke to this rectangle leads to some unintended results.
To actually get simple lines you need to create a simple path for example with the Pen Tool (P) and then add a stroke to it. It’s also worth to play around with the alignment of the stroke (inside, centre, outside).
I still have hope that adobe one day gives the same behavior to the same tools in their different software applications. So that a line behaves the same way in Illustrator, Photoshop or Fireworks – something which I would consider as one of the very, very basic design principles ;-)