PDFTeX itself has a rather wide range of formats that it can
"natively" incorporate into its output PDF stream:
JPEG (.jpg files) for photographs and similar images,
PNG files for artificial bitmap images, and PDF for
vector drawings. Old versions of PDFTeX (prior to version 1.10a)
supported TIFF (.tif files) format as an alternative
to PNG files; don't rely on this facility, even if you
are running an old enough version of PDFTeX...
In addition to the 'native' formats, the standard PDFLaTeX
graphics package setup causes Hans Hagen's supp-pdf
macros to be loaded: these macros are capable of translating the
output of MetaPost to PDF "on the fly"; thus MetaPost output
(.mps files) may also be included in PDFLaTeX documents.
The commonest problem users encounter, when switching from TeX, is that there is no straightforward way to include EPS files: since PDFTeX is its own "driver", and since it contains no means of converting PostScript to PDF, there's no direct way the job can be done.
The simple solution is to convert the EPS to an appropriate PDF file. The epstopdf program will do this: it's available either as a Windows executable or as a Perl script to run on Unix and other similar systems. A LaTeX package, epstopdf, can be used to generate the requisite PDF files "on the fly"; this is convenient, but requires that you suppress one of TeX's security checks: don't use it in files from sources you don't entirely trust.
A similar package, ps4pdf, permits other things than 'mere' graphics files in its argument. (Documentation is scarce: see the distribution page for some examples.)
An alternative solution is to use purifyeps, a
Perl script which uses the good offices of
pstoedit and of MetaPost to convert your Encapsulated PostScript to
"Encapsulated PostScript that comes out of MetaPost", and can therefore be
included directly. Sadly, purifyeps doesn't work for all
.eps files.
Good coverage of the problem is to be found in Herbert Voss' PDFtricks support page, which is, in fact, targeted at the use of pstricks in PDFLaTeX, and also covers the pstricks-specific package pdftricks.
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=pdftexgraphics