It is difficult to make judgements about color without a photograph. Are the structures close enough to all be visible together? Generally, natural tones sound very good for a woodsy setting; however, in some cases, contrast can be effective. A photo would really help.

There are different ways to approach the issue of color.

Do you want to match the house (or the house trim)?

Do you want to match the other minor structures?

Do you want to draw attention to one or more of the structures?

Do you want to make one or more of the structures less obvious?

For the last, you may be interested in these old threads about the color of woodyoak's shed:
http://forums2.gardenweb.com/forums/load/design/msg0616492729877.html
http://forums2.gardenweb.com/forums/load/design/msg0217421628064.html?22

All structures are in view of one another. We aren't in the country but the setting looks country. We have a large end lot. I do like the way you stated it MTO - drawing attention, less attention, etc. The gazebo is near a pool so it has a light feel to it, the playhouse is at the woods so it has a woodsy feel to it. I can match the deck and play structure and make the two tie in together at the very least. So, each structure does go with it's setting so I'm okay with that. Thanks for opening my views up a bit as to not just being structures but what they are used for. Can't wait to get my deck started! Maybe I'll post some before and after pictures - it won't be anything spectacular but way better than before.