In addition to the .tex and .dvi or .pdf files, TeX/LaTeX/ConTeXt produces and uses lots of other files. What do they do? Which ones are used to create the document and which ones are automatically created by the compiler. What files can I safely delete?
if you want get rid of those files in your document directory then use the optional argument -output-directory=whatever. Then all auxiliary files and the pdf are saved in that directory. For example what I use:
pdflatex -output-directory=target <file>
then my <file>.pdf is also in target, but I always use a softlink ln -s target/<file>.pdf then I have it in my documents directory, too. But as Martin already pointed out, deleting the auxiliary files makes only sense when you are really sure that your pdf file is finished.