Are you familiar with Sketch Picture? You can insert your *.jpg into a sketch and scale it. Then you can draw your sketch entities over the image using it as a guide - it doesn't actually import any usable entities.
Open a sketch then select Tools / Sketch Tools / Sketch Picture and browse to your *.jpg.
There is also a new feature in SW2010 (? maybe 2009?) Where you just go to Insert>Picture (not object, and cut+paste does not work). This will insert an image (.jpg) into your drawing, and it works well.
Also, for the PDF, there are two ways of doing it. Assuming that it is vector art (not bitmap graphics), the best way is to use Adobe Illustrator, which can read PDFs. Open it in Illustrator, and then save it as a .ai. Then, Solidworks can import the .ai file.
If it is a bitmap image, or if you don't have Illustrator, then you can just copy the bitmap image of the PDF, and use the Insert>Picture method above. If you want to do this at a super-high resolution, one way is to "print" the PDF into Microsoft Document Imaging (if you have MS Office), and then go to the print settings for MS Doc Imaging, and set it to .tif. This will save a .tif file at whatever resolution you specify, and then, again, you can use insert>picture.
For JPEG, I use what Daen suggested.
For PDF, I use the snapshot option in the Adobe reader it self and do a paste in the SW. Works well for me.
What's the current state of raster to vector converters? Anything usable out there that doesn't cost an arm and a leg?
Print2Cad will convert a PDF to a DWG or DXF. I used an older version back in 2009, and it worked well. They also had a convenient floating license available at additional cost.