When I build a release version of a project in Visual Studio 2008, it creates a .pdb file, e.g. for a simple WPF project it generates a .exe and .pdb file.<
You are right. PDB files are for debugging but you may need to debug release builds too. Saving PDBs of released builds is very important when you want to debug a customer issue and you have the crash dump file related to that issue.
By the way, generating PDB files does not harm compiler optimizations. If you don't ship it to the customer, there will be no performance implications.
It depends on the project settings. Just happens that in Release version a .pdb is also generated by default. It will not hurt you - just don't ship it to the customer.
To skip its creation go to Linker->Debugging in project settings and set "Generate Debug Info" to "No".