When you have a PDF with more than one page, open it in Preview then from the menu select Print. When the Print dialog box opens, in the bottom left corner you will see a button labelled "PDF" with a down pointing disclosure triangle. Click on the button and select "Save PDF to iPhoto" from the drop-down menu. This action will import each page into iPhoto as separate JPEGs.
For a single page PDF, follow AppleMan's advice. However, using the Print method saves a lot of work when you wish to save a multi-page PDF as separate JPEGs. I sometimes use this method after creating a book in iPhoto. I save the book as a PDF then convert to JPEGs using the Print method as described. I can then use the individual book pages in iMovie for compiling a slideshow to complement a video project (typically a wedding project).
Using Save As in Preview requires you to do this separately for each page in a multi-page PDF. The Print method does this in the one action, with the added bonus of placing the JPEGs directly into iPhoto.
John