java.util.Collection#Iterator is a good example of a Factory Method. Depending on the concrete subclass of Collection you use, it will create an Iterator implementation. Because both the Factory superclass (Collection) and the Iterator created are interfaces, it is sometimes confused with AbstractFactory. Most of the examples for AbstractFactory in the the accepted answer (BalusC) are examples of Factory, a simplified version of Factory Method, which is not part of the original GoF patterns. In Facory the Factory class hierarchy is collapsed and the factory uses other means to choose the product to be returned.
An abstract factory has multiple factory methods, each creating a different product. The products produced by one factory are intended to be used together (your printer and cartridges better be from the same (abstract) factory). As mentioned in answers above the families of AWT GUI components, differing from platform to platform, are an example of this (although its implementation differs from the structure described in Gof).
