Arduino Duemilanove external power source with USB connected
I'm looking at and interpretting the schematics and here's my take.


If V_IN (external power minus a protection diode drop of probably about 0.7V) is above 6V, the USB power is cut-off from the 5V rail through a P-channel MOSFET.
If V_IN is below 6V then USB power will be connected to +5V through the MOSFET. V_IN will still energize the on-board 5V regulator, but since USB power and the regulator are at the same potential, they shouldn't fight each other , and you should be OK.
Looking at GND in the schematics, USB GND is tied to the 5V GND reference on the regulator, so again, you should be all set in terms of USB power not fighting your on-board regulated power.
In principle, having both USB and external power connected should allow you to source more draw a higher max current (the sum of the USB and your external power source).
Plugging in external power after USB power is already connected shouldn't do any damage, but you might get a transient dipping in +5V while the Op-Amps and MOSFETs settle, which might cause your Arduino to reset. 


Anyway, my opinion is that it should be harmless. Not that I'm an "official source" :).