In the Finder, there are numerous ways to duplicate a given file: either copy and paste the file to the same place, Option-drag the file to the same folder, or Control-click on the file select Duplicate from the contextual menu (or just press Command-D in the Finder).
Interestingly, the behavior of renaming the copied file for these three commands differs slightly. While duplicating or copying and pasting appends copy to the end of the filename (unless it already ends in copy, in which case it begins to enumerate) option-dragging the file to the same folder results in a slightly more useful naming system.
If the original file does not end in an integer, the new filename will be appended with the number 2 instead of copy. If the original ends in an integer, however, Finder does something quite useful -- instead of appending 2 to the end of the file, it recognizes the integer and adds one to the value.
For example, Report.doc will be renamed to Report 2.doc, but Report Number 67.doc will be conveniently renamed to Report Number 68.doc.
[robg adds: This is marked 10.5 only as I believe this behavior was new in OS X 10.5.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20090529194228820