Merging several DEMs into one using ArcGIS Desktop?

In ArcGIS 10, this can be done on-the-fly.

One of the new features being to create a Mosaic Dataset. There is also the Image Analysis window that will allow you to apply filters, do processing, analysis, also on-the-fly.

These two tools can save you tonnes of processing time and disk space, as data will not be duplicated.