I often need to combine a number of .jpg images into a single document. Regrettably, the Windows world always seems to do this by creating a presentation, but I prefer to keep PDF files instead as they are quicker to open. A number of hints have discussed this task, but all that I have seen seem to require specialised software or scripting or both.
In OS X, the easiest way is to open the images in Preview, click in the thumbnail tray, choose Edit->Select All, then File->Print Selected Items. In the print dialog, choose the PDF button, then select the Save as PDF-X item. You'll be asked where to save the file, and you're done.
Another way, if you have Keynote from iWork, is to drag the images onto Keynote's slide thumbnail pane, select all of them, then export them as a PDF. This way, you can also export them as a presentation if you prefer.
Incidentally, if you receive Powerpoint documents that you'd prefer to store as, say, PDF documents instead, just open the document in Keynote and export it as a PDF.
[robg adds: I thought we'd covered this before, but a couple searches on likely terms came up blank, so here it is...]
Mac OS X Hints