Traditionally to merge to PDF files together you'd need to use Adobe Acrobat (not Reader). However, there are now many other options available and some are even free of charge. I found a very good one that's easy to use and fast. It's an online service but you do not have to sign in or give your e-mail address. Here it is:
Update: January 2014
Here's another website that works really well too:
http://merge.smallpdf.com/ (thanks to Mathis Buchi for recommending this site)
In fact, try http://smallpdf.com/, there are a number of functions here such as compressing a PDF and creating a PDF from image files, etc.
Update: January 2015
PDFtk Free is a nice little Windows program that can merge PDF files, best if you don't want to upload your files to the web: