From the LaTeX Wikibook :
When working on big documents, you
might want to split the input file
into several parts. LaTeX has three
commands to insert a file into another
when building the document.
The simplest is the \input command:
\input{filename}
\input inserts the contents of another
file, named filename.tex; note that
the .tex extension is omitted. For all
practical purposes, \input is no more
than a simple, automated cut-and-paste
of the source code in filename.tex.
The other main inclusion command is
\include:
\include{filename}
The \include command is different from
\input in that it's the output that is
added instead of the commands from the
other files. Therefore a new page will
be created at every \include command,
which makes it appropriate to use it
for large entities such as book
chapters.
Very large documents (that usually
include many files) take a very long
time to compile, and most users find
it convenient to test their last
changes by including only the files
they have been working on. One option
is to hunt down all \include commands
in the inclusion hierarchy and to
comment them out:
%\include{filename1}
\include{filename2}
\include{filename3}
%\include{filename4}
In this case, the user wants to
include only filename2.tex and
filename3.tex. If the inclusion
hierarchy is intricate, commenting can
become error-prone: page numbering
will change, and any cross references
won't work. A better alternative is to
retain the include calls and use the
\includeonly command in the preamble:
\includeonly{filename2,filename3}
This way, only \include commands for
the specified files will be executed,
and inclusion will be handled in only
one place. Note that there must be no
spaces between the filenames and the
commas.
Also, you cannot do \include in an \included document, so then just use \input.