Within AutoCAD make sure you check your plot settings:
- select the correct page size - an A1 (841x594mm) will be much better than an A4 (297x20mm) for example.
- pen settings - make sure you haven't got any really thick pen weightings
Output these settings to a pdf file as this will give a transparent background within Photoshop (very handy sometimes). When you open the pdf file in Photoshop select a resolution of 300. There should be no pixillation until you go beyond 200% zoom.
Also, if your looking to output your dwg to a scale don't 'scale to fit' within AutoCAD.
Basically what you see in your preview within AutoCAD is what will appear within Photoshop.
Also note that the larger the page size with a resolution of 300 will increase the working/file size of the document and will obviously put greater strain on your computer. So, you might have to strike a balance between quality and workability.