<p>In Eclipse, I often include all project-related material (including documents in PDF, Microsoft, and OpenDocument formats) in the project. Is this possible with Visual Studio, especially to the point where if I attempt to open the file from inside Visual Studio, it will open in the external application?</p>

Yes, just right-click your project in the solution explorer and goto Add > Existing Item...
Though -- I'd recommend making a new folder to keep this in.
Yes, you can make sure that when you open it it opens with the correct application.  Just right-click the file once it's added into the solution explorer and select Open With... and make sure you set the default application that way from that point forward you can just double-click your files.
If you have access to use Sharepoint Services with your source control than that would also make life much easier, thanks for reminding me Chris!