A regular need is a document to be distributed in more than one format: commonly both PostScript and PDF. The following advice is based on a post by one with much experience of dealing with the problem of dealing with EPS graphics in this case.
dvips, pdftex and
dvipdfm (dvipdfm is not used in this scheme,
but the aspirant PDF-maker may be using it for his output,
before switching to the scheme).
\includegraphics[...]{filename} without
specifying the extension (i.e., neither .eps nor .pdf).
.eps file you will be including, produce a .pdf
version, as described in
Graphics in PDFLaTeX. Having
done this, you will have two copies of each graphic (a .eps and a
.pdf file) in your directory.
This question on the Web: http://www.tex.ac.uk/cgi-bin/texfaq2html?label=graph-pspdf