This is a follow-up to Bounding Boxes and EPS to PDF Conversion (in LaTeX).
There is also the LaTeX package pst-pdf, which uses the tool from the package ps4pdf.
This is a clever package with a more general approach to PS-to-PDF conversion than epstopdf. Rather than focusing only on the EPS graphics, it looks at the document as a whole. This means that it takes care of converting PSTricks (CTAN, TUG) graphics as well. It's a simple way of using pdflatex to produce a PDF while using constructs inside the document that are normally only allowed with latex (I assume that psfrag/psfragx will also work well with pst-pdf).
Of course, regardless of what you are producing, you should not be using epsfig anymore; use graphics and graphicx instead. In fact, epsfig isn't even supported anymore. There is a version included with the graphicx package for backwards compatibility.
For more information about including imported EPS files in LaTeX, see epslatex.pdf.