How to include a PDF image into a PDFLaTeX document

Loading the graphicx package in the preamble it is possible to import PDF images in the document:

\documentclass{article}
\usepackage{graphicx}

\begin{document}

\includegraphics[<options>]{filename.pdf}

\end{document}

Here <options> can be e.g. width=<width>, height=<height or page=<page number>. See the Graphics Guide for more details.

Have a look at the pdfpages package

\documentclass{article}

\usepackage{pdfpages}

\begin{document}
   \includepdf[<options>]{<file>}

   Your Text
\end{document}

Edit Miguel suggested graphicx to include a graphic which is correct, the difference between graphicx and pdfpages is that graphicx puts the PDF as a graphic on a text page (maybe inside a {figure} float environment, whereas pdfpages inserst the pages of a given PDF between the pages of your document.

I use the package epstopdf to insert graphic in format different than those that Latex commonly processes. It works for .pdf, .tiff, etc.

\documentclass{article}

\usepackage{epstopdf}
\epstopdfDeclareGraphicsRule{.pdf}{png}{.png}{convert #1 \OutputFile}
\AppendGraphicsExtensions{.pdf}

\begin{document}

\includegraphics[<options>]{filename.pdf}

\end{document}