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,
TIFF (.tif files) and PNG files for artificial bitmap
images, and PDF for vector drawings.
In addition, 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.
An alternative (and, I find, deeply satisfying) 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.