This is a common question and highlights a feature of Mac OS X that's well worth knowing, a feature that in my eyes, at least, is one of the best capabilities of the Mac system. After all, without the print-to-pdf feature, you'd end up having to use a commercial PDF rendering application like Adobe Acrobat, which is pretty expensive and would significantly impact your capabilities too.
Fortunately, it's pretty darn easy to print to a PDF with just what's built in to Leopard or Panther (different versions of Mac OS X).
For example, I'll convert a Web page into a PDF file by opening up the page in Safari, then choosing File --> Print.... This brings up the following dialog window:
Notice the button labelled "PDF" on the lower left. That's the target, so click it. Now you'll see this:
As you can see, there are quite a few choices in terms of how the printer program formats and renders the page you seek to print, but I always just choose Save As PDF.... Now you'll get yet another dialog box:
You can probably leave this all untouched, but I would suggest you rename the "save as" to have a name that you find mnemonic, not algorithmically scraped from another page. :-)
Once you've done that, click on "Save" and a few seconds later you'll have a PDF file that is the rendering of the page or document you were viewing!
Update: if you want to accomplish this same result in Windows, there are a number of choices available. I suggest that you check out PDF to DOC Converter Pro.
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I agree Dave, this feature is well worth the software price!! I have used this feature for a very long time and don't think I could live without it. So many things I do rely on PDF's and to simply print as a pdf works excellent! I used to export as PDF files but depending on what you were exporting, it wouldn't always work. This works flawlessly.
Also, I noticed my wife had a PDF file she printed from Acrobat Reader (on both Mac and PC) and all photos print in red. I open the pdf in preview and it prints perfect. That's a mac for you!