While setting up new web sites and helping folks register domain names we get this question a lot.  It is pretty common for people to register multiple domain names. Sometimes people just want both the .net and .com extension for the same name. Sometimes people register a handful of similar names to make sure no else can use them; decent strategies all. However, how you configure these domain names can have big implications. Having all of your domain name resolve to the same web site can cause you to be penalized by the search engines.

Consider if you purchase three domain names and point them all to your website. The search engines will view these as three different web sites all with the exact same content. This doesn't mean you can't use all of your domains - you just have to set it up correctly. You should choose the main domain you plan to use - the one you will print on your business cards and use for email.  This is the domain you will really promote and setup for your web site. The other domains should be configured with your domain registrar to respond with a HTTP status code of 301. This tells the visitor (and more important the search engines) that the content at that domain has been permanently moved – and you can point them to your main domain.

On the same thread - search engines can also consider www.yourdomain.com and yourdomain.com (no www.) to be separate web sites - earning you the same penalty. Even further www.yourdomain.com/default.htm and www.yourdomain.com can be considered separate pages with the same content.
This whole concept is called domain canonicalization. Matt Cutts explains this best I've seen, "Canonicalization is the process of picking the best URL when there are several choices." Reading his entire post on the subject is very helpful.

When getting serious about SEO, domain canonicalization is a good place to start.