I stumbled upon this accidentally - if you select more than one single-page PDF in the Finder and open them in Preview, they become a single multi-page document which can then be saved. Cool!
[robg adds: I thought we'd completely covered the subject of combining PDFs, but I guess here's yet one more method!]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20031211144646263