I agree with pretty much everyone above. It is very common for rhythm to be one of the most difficult things to get your head round. This is especially true if you are used to playing alone. If one is used to playing in an orchestrated ensemble one's rhythm improves greatly. But what really sorts the men from the boys is playing in a horn section. You have to be bang on!. Try listening to Tower of Power, the Youngblood Brass Band and especially Antibalas. I have been rubbish my whole life, but just recently have felt a major improvement. I know others have mentioned very similar things above, but these have really helped me over the last year:
1 - Always, always tap your foot. So many people think it is not necessary or a sign of weakness. There really is no better way of internalising the groove of a piece (unless your dancing, which I sometimes do instead). In a masterclass the saxophonist taking the class saw i was struggling an insisted i always tap. This includes when you are listening to all music , on your iPod, in the lift, on your stereo.
2 - The above tapping will also give you a strong sense of structure. Most blues based tunes in Pop, rock, jazz, funk etc seem to work of 4, 8, 12 and 16 bar sections. The listener's internal (often sub-concious) appreciation of these musical sections is what allows the musician to play with tension and release and the 'emotional satisfaction' this provides the listener. Anticipating these sections will become instinctive after a while, something that drummers are particularly good at.
3 - Using a music "slow downer" to practice faster pieces really helps you to stick to the beat (with foot tapping) and as you slowly increase the speed the beat is internalised very well.
4 - Transcribing solos or any piece of music really very quickly helps you appreciate rhythmic structures and with one of those cool computer programmes like NoteWorthy, you can often play back what you've written and check it is correct.
5 - When ever i have a spare minute e.g. on the bus when I don't have my sax, I practice rhythms. The way I do it is to keep a constant 4/4 tapping my foot, and then slap my thigh to various beats. I start with the same as my foot 4/4, then move to eighth notes (two slaps for one tap), then triplets, then sixteenths, the back to triplets, back to eighths, then to 4/4 again. I do this a few times and then try out various different patterns, but repeat each made up pattern at least 4 times before making a new pattern. All the time keeping the foot tapping 4/4. If there is music playing at the same time this can be even more fun, and is a form of improvising without your instrument. What is even better is instead of thigh slapping, using your tongue and doing te-te-te-te or te-ke-te-ke.
When you do have your instrument practice the same thing with tonguing on a single note.
6 - Playing with a horn section, especially of the funk or ska or R&B/Soul variety really really helps your rhythm control, it starts to happen automatically after a while. As a warm up every rehearsal and to get us to really listen to each other and keep rhythm, we do this. We stand in a circle and put on rhythm backing like Jamy Abersolds Blues in all keys, pick a key and then one person starts a 12 bar section with a very simple riff. Maybe only 3 or 4 notes. Then the rest of us play the same (the notes being the same is not so important (we often accidentally harmonise within the key). What is important is that we are rythmically identical and in unison (sound like one instrument). After one 12-bar round the next person makes up a very simple riff and so on. After a few weeks the complexity of the rythm can increase. EVRYONE SHOULD BE TAPPING THEIR FEET!!!!;}
These things have really helped me in the last year, maybe see if any of them work for you.
Cheers,
Al