I recently ran into a problem that I hadn't previously encountered. Latex cannot deal with vector images (.eps) and rasterized images (.pdf, .jpg, .png) simultaneously! There may be a better way around this, but since I had mostly eps files in my paper, I decided to convert the jpegs to eps with this handy little site: http://www.tlhiv.org/rast2vec/. I love it!

Edit: To clarify, if you're compiling your file with latex then dvips then ps2pdf, you need to have eps files. If you're compiling your file with pdflatex, then you need pdf, jpg, png, etc. Hope that explains why you can't have both types simultaneously!