What's the issue?

Digital SLR cameras allow many advantages over less sophisticated cameras--they allow different lenses to be used, they are much faster, work much better in low light, and offer much more control over the details of photography. However, as the lenses are removable, dust can get inside the camera and get onto the sensor, causing spots to appear on the images under certain conditions.

First of all, this issue only affects you if you shoot with small aperture (ie, large f number)—smaller than f/9 or f/11 or so. At larger apertures (like f/3 or so), the aperture is large enough that light is entering at a wide enough range of angles that it can go around the dust on the sensor and not leave a clear mark. Only at small apertures does the light become collimated enough that it casts a clear shadow on the sensor.

Do I have an issue?

If you want to see if you have a dust issue, set for the smallest aperture you can (likely f/22), and take a picture of the blue sky or white paper. Likely take a couple of pictures—if you use white paper, you might not want to focus. Look at the images at 100% on the computer--if you have sensor dust, you will see dots or specks in the image from the sensor dust. Use auto-levels in Photoshop to make the spots more visible if necessary.

How to prevent it?

Limit lens changes, especially in dusty conditions. (Apparently it's dustier outside than inside usually.) Get a good-quality hand-blower, and blow out the sensor chamber and the lens end each lens change. Keep everything clean.

Note that the cameras themselves create dust internally when the shutter operates and the mirror moves. Unfortunately, my understanding is that the sensor develops a static electrical charge during operation, so any dust in the sensor chamber will quickly be sucked onto the sensor.

In addition, it really isn’t an issue if you shoot with large apertures. I rarely (if ever) shoot with small apertures—usually the smallest I go is around f/6 or so.

I've heard that cameras usually come from the factory with a dusty sensor.

How to clean the sensor?

There are a bunch of ways to do this:

• Blow off the sensor with a hand blower: there should be instructions for this in the camera manual. You need to activate a special mode where the sensor is exposed, and then blow dust off it with the hand blower. Don’t use compressed air from a can—it’s too strong and can contain chemical residue. This is the only officially approved Canon way to clean the sensor yourself. When I do it, I usually orient the camera facing downwards so that gravity is on my side in helping to get the dust out of the chamber, rather than just moving it around in the chamber. One warning: don’t expose the sensor to strong light (aka sunlight) when it’s in cleaning mode—it will be damaged.
• Send it in for cleaning by the manufacturer: this costs $25 to $100, can take many weeks, and sometimes the camera is returned with the same number of dust spots, just with them moved around. My understanding is that Canon uses a Kimwipe (a special lint-free tissue) and alchohol and wipes off the sensor.
• Buy sensor cleaning supplies and use them to clean your sensor yourself. This is a bit expensive, and a bit risky—all sorts of bad things can happen to your sensor. See http://www.visibledust.com/ for some examples of products. You can either clean dry or wet—dry is supposed to be a bit safer, but apparently some dirt only comes off with wet.
• Use a certain type of Scotch tape to clean the sensor—apparently you stick the tape to the sensor and peel it off. Some people swear by this approach, but I thought it was a joke when I first heard it.
• There are also other ways, many of them risky.

Note also that many of the newest DSLR cameras have self-cleaning modes which are very helpful but apparently may not completely eliminate the need for sensor cleaning.

What did I do?

I try to not change lens often, shoot with large aperture, and mainly not worry about it too much. You can always PhotoShop the dirt out of photos, but it’s time consuming.

If you’re interested in more general details, I’d suggest you do an online search for something like "sensor dust" or "sensor cleaning" and see what you find. But I warn you, there’s lot of conflicting and frightening information out there—it can become a bit of a perverse hobby if you aren’t careful!