Its build into my mac as part of the print dialogue just click the pdf button.
On *nix most print systems produce .ps (postscript) ps2pdf will convert them to a pdf.
Using latex + bits you can make things like hyperlinks toc (table of contents), thumbnails that work properly, though latex can be a bit tricky.
lyx / texmacs are nice wysiwyw (what you see is what you want) editors that produce excellent output.
For output from anything in windows http://sourceforge.net/projects/pdfcreator/
Or install Open Office as it has export as pdf built in.
Just to elaborate more on what mountainpenguin has mentioned. While Microsoft may be the de facto OS for many and most of you will have MS Office at work, at home you do not have to line the pockets of Bill Gates anymore than they already are. OK, Windows OS may be there as the base but productive software and compatible with MS Office is out there for free, legally. Most if not all have the look and feel of MS products for them to be acceptable. (I don't know whether it is still the case but MS used to bundle a Word processor package with the OS called Works, which never did work with MS Office. Something I always felt awkward about when trying to explain to clients why they had to shell out more money for things to work)
OpenOffice is one such product. It runs on Windows, you can import and export Word, Excel etc it will create pdfs, more importantly its free. For Mac users to use Open Office it is a little more difficult as you have to run something called X11 before starting OpenOffice. However the Mac community are resourceful and the OpenOffice program has been ported to run natively on the Mac. Its called NeoOffice and contains all the MS Office elements for those needing them. I have used it for sometime and regularly send colleagues Writer (Word) and Calc (Excel) and pdf documents, no complaints so far. To create a pdf you select Export PDF this opens a new window that guides you through options or just accept default settings to produce the pdf.
If downloading and keeping software up to date is not your forte then you can buy a commercial version of Open Office called Star Office, PC World used to keep it. Usually around 30-40 quid. Just Google the above names for links.