When I'm working with PDF, it's usually saving images I make from Photoshop to print. I think someone above had already mentioned this is poitless, to just save it as a jpeg or something... but I disagree.
When I was doing graphics, I found that saving my photoshop images as a high-quality PDF file was the best way when getting them professionally printed. Because when you go to a professional printer, they wont have photoshop so they wont be able to open a ps file, and I've had troubles with saving images as large TIFFs and so forth.
As for being able to download it without saving it on a server... I'm not sure exactly what you mean. If you want a PDF downloadable from a website, you're going to have to upload it to the site's server for it to be available for download, just like any other file.
The reason why alot of formal sites tend to put their info in a PDF file for downloading, rather than just displaying the info, is because most of the time that information is already previously presented in - like - a book or pamphlet or something. And converting the graphics from them into a PDF to download is esier and more efficient than retyping all that info. My guess is that the info and images and all were already put together by quark express or some other program, and they just saved the files as PDF. I've also heard it's possible to use XML to create PDF files, although I havent put that into practise myself.
Hope that answers what you wanted to know.
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