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