I think we need to discsuss a few basics here...
The file format that is originally photoshop is a .psd
However, you can export as a jpg, gif, eps, pdf, and several more... if you want to learn more about Photoshop I'd recommend some classes over at xTrain.com
Portable Document Format. It's like an un-modifiable text document. Photoshop can output to it.
almost any format:.jpg , .gif , .png are most common but you can open almost any other format
PageMaker allowed placement of native Photoshop files.
"Native Adobe" refers to the particular Adobe program's native file format. For example, Photoshop's native format is PSD; Illustrator is AI; Fireworks is PNG; Acrobat is PDF, and so on. Even though all programs can edit and export to different formats, it's their native format that the programs work best in.
Gimp can open a .PSD file directly, and save it out as it's native format - the .XCF
Photoshop has ties with other Adobe software for media editing, animation, and authoring. The .PSD (Photoshop Document), Photoshop's native format, stores an image with support for most imaging options available in Photoshop. These include layers with masks, color spaces, ICC profiles, transparency, text, alpha channels and spot colors, clipping paths, and duotone settings. This is in contrast to many other file formats (e.g. .EPS or .GIF) that restrict content to provide streamlined, predictable functionality.
PSD is native Photoshop format and supports most of Photoshop editing capabilities. You can send to some (not to all) printing companies PSD files. Otherwise save file for printing purpose as PDF or TIFF.
Don't know how it actually does it, but you can only save layered images in format that supports them. ie: photoshop native files .PSD or layered TIFFs. Jpegs can not be saved with layers.
.psd Photoshop has ties with other Adobe software for media editing, animation, and authoring. The .PSD (Photoshop Document), Photoshop's native format, stores an image with support for most imaging options available in Photoshop. These include layers with masks, color spaces, ICC profiles, transparency, text, alpha channels and spot colors, clipping paths, and duotone settings. This is in contrast to many other file formats (e.g. .EPS or .GIF) that restrict content to provide streamlined, predictable functionality.
PSD is native Photoshop Document.
Native files are the files created in the program you are in. You have the option to save your file in another format, but its best to save the file in native file if wanting to come back to edit your work. Usually, when you save as another file the quality will lack. For example when you use Photoshop (.psd) or Adobe Illustrator (.ai)or PowerPoint (.pptx). If you save the file in the incorrect format and try to access, you may not be able to view or edit.
.vbk format!