Talk to the print shop. They can tell you what they expect. For digital printing, a .pdf is often a very good idea, most of the good printers can handle it. If you are wanting to go high end and have a 4-color offset job done (more expensive, usually done for large run jobs) then you really do want to talk to the print shop.

Also take a look at some of the on-line printers. Many of them have some very useful information, even tutorials, on how to prepare your files, and what file types they prefer.