Join in1.pdf and in2.pdf into a new PDF, out1.pdf
pdftk in1.pdf in2.pdf cat output out1.pdf
or (using handles):
pdftk A=in1.pdf B=in2.pdf cat A B output out1.pdf
or (using wildcards):
pdftk *.pdf cat output combined.pdf
Adobe Acrobat 6
File → Create PDF → From Multiple Files…
in Acrobat 6, there is a problem with the default order of merging documents and it almost always requires user intervention to put the pages in proper order before completing the merge