Update, May 18th 2015: Since I wrote this page in 2011, I’ve discovered that Apple have themselves published even better advice on their own site. So for the best instructions on how to do this, go to their page, OSX: Combing PDF documents using Preview 

For posterity, my original advice is below. The bit that was crucially missing from my advice was that you mustn’t import documents below the dividing line in the sidebar.

Using Preview on a Mac, this helps you compile a bunch of single, separate pdfs  – scans, articles, pictures, or whatever – into a single pdf. You can also re-order the individual pages or delete them.  This is the process:

1. Open one of the files that’s going to be one of the final collection (it doesn’t matter which one)
2. Save the file as something meaningful like ‘compiled scans’ or whatever
3. Make sure that View>Sidebar>Show Sidebar is selected (⇧⌘D), and Thumbnails is ticked
4. Keeping this first  file open, drop whole files, or individual pages into it as follows:
   1. For whole files: Select files in Finder and drag and drop them into the sidebar of the destination file
   2. For selected pages only: Open the  files that contain the pages that you want to include in the compiled file (Ensure that View Sidebar and Thumbnails is selected in the View>Sidebar menu in these files too).Arrange the windows on the screen so that your destination file (the one you’re going to drop all the others into) and the source file (the one containing the pages you want to drop in) are both visible.In the source file,  select the thumbnails of the page(s) that you want to add, and simply drag and drop them into the sidebar of the destination file.
5. In the destination file, you can drag files up and down the sidebar to reorder them, or delete individual pages.
6. Save the destination file.

 NOTES 

• If you need a title page, make it in Word, print it to pdf, and then drag it into the destination document
• It’s a good idea to make a blank page in Word or other program and print that to pdf so that you’ve got a blank page handy to insert where necessary – for example, you may eventually want to print this file double-sided, and if the first two pages are a double-page spread, you’ll need a blank page to start with. This is particularly relevant for music books.
• As you can put image files into a pdf, this is also quick and dirty way to make a presentation without PowerPoint – just drop the relevant pictures and pages you need into a pdf, and wiggle them around.  You can use Preview or Acrobat to show the presentation, too.

I discovered this tip by accident – as far as I can see, there’s nothing in the menus that seems to offer you this fantastic option.