Page templates: how does one create one?

When using the Write Page option for creating pages on the site (instead of Write Post), in the Page Options section, there is a Page Template combobox. I am assuming that I can have multiple page templates for use with writing pages.

How does one create a page tempate and get it to appear in that combobox?

Also, is there a place where the Documentation for WP1.5 resides? I would really prefer finding this kind of stuff on my own rather than bug people about it.

Thanks