UPDATE 2020-05-23: I removed the Get selected Finder items, which was causing duplicates (see comments).  I also updated it with screenshots from macOS Catalina.  I updated the post to reflect all these changes.

UPDATE: If you installed this script today (2016-08-15), you may need to update it.  I added a line in the script that should prevent duplicate pages from being appended.

There are plenty of apps that help you merge PDFs into a single file, but if you want something faster with a “native” feel, you can set up an OS X service to quickly merge selected PDFs simply by right-clicking them.

Setting It Up

First, open Terminal an enter this command to install the Python module that makes this possible:

sudo easy_install PyPDF2

Open Automator and choose Service

This was called "Service" in older versions of macOS

If you're on a more recent OS, Service has been replaced with Quick Action.

Newer versions of macOS call this a "Quick Action" because you can give it an icon and sometimes use them on the touch bar, but this is essentially the same thing as "Service."

Search for script, drag Run Shell Script over.  Using the pulldown menus, choose /usr/bin/python for the Shell: and as arguments for Pass input:

Older versions of macOS (OS X)
Here's how it looks in newer versions of macOS (dark mode is on here)

Paste in the script below.

Older versions of macOS (OS X)
Newer versions of macOS

Finally, save the workflow as Merge PDFs and it will become available in your right-click menu when using the Finder.

Older versions of macOS (OS X)
Newer versions of macOS

I have found this to be especially useful for when I need to submit a form with an attached document such as when submitting medical reimbursements or other medical requests.