Postgres: How to do Composite keys?

Your compound PRIMARY KEY specification already does what you want. Omit the line that's giving you a syntax error, and omit the redundant CONSTRAINT (already implied), too:

 CREATE TABLE tags
      (
               question_id INTEGER NOT NULL,
               tag_id SERIAL NOT NULL,
               tag1 VARCHAR(20),
               tag2 VARCHAR(20),
               tag3 VARCHAR(20),
               PRIMARY KEY(question_id, tag_id)
      );

NOTICE:  CREATE TABLE will create implicit sequence "tags_tag_id_seq" for serial column "tags.tag_id"
    NOTICE:  CREATE TABLE / PRIMARY KEY will create implicit index "tags_pkey" for table "tags"
    CREATE TABLE
    pg=> \d tags
                                         Table "public.tags"
       Column    |         Type          |                       Modifiers       
    -------------+-----------------------+-------------------------------------------------------
     question_id | integer               | not null
     tag_id      | integer               | not null default nextval('tags_tag_id_seq'::regclass)
     tag1        | character varying(20) |
     tag2        | character varying(20) |
     tag3        | character varying(20) |
    Indexes:
        "tags_pkey" PRIMARY KEY, btree (question_id, tag_id)

The error you are getting is in line 3. i.e. it is not in

CONSTRAINT no_duplicate_tag UNIQUE (question_id, tag_id)

but earlier:

CREATE TABLE tags
     (
              (question_id, tag_id) NOT NULL,

Correct table definition is like pilcrow showed.

And if you want to add unique on tag1, tag2, tag3 (which sounds very suspicious), then the syntax is:

CREATE TABLE tags (
    question_id INTEGER NOT NULL,
    tag_id SERIAL NOT NULL,
    tag1 VARCHAR(20),
    tag2 VARCHAR(20),
    tag3 VARCHAR(20),
    PRIMARY KEY(question_id, tag_id),
    UNIQUE (tag1, tag2, tag3)
);

or, if you want to have the constraint named according to your wish:

CREATE TABLE tags (
    question_id INTEGER NOT NULL,
    tag_id SERIAL NOT NULL,
    tag1 VARCHAR(20),
    tag2 VARCHAR(20),
    tag3 VARCHAR(20),
    PRIMARY KEY(question_id, tag_id),
    CONSTRAINT some_name UNIQUE (tag1, tag2, tag3)
);