'etc.' is the abbreviation of 'et cetera', which means 'and so forth', so it should be treated the same as the latter phrase.

For a discussion of what is called the 'serial comma', see:

http://en.wikipedia.org/wiki/Serial_comma

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Note added at 11 mins (2008-11-19 12:23:23 GMT)
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Always in a list with three or more items, in order to avoid ambiguity (e.g. houses, cars, boats, etc.' -- which clearly indicates that each item in the list is a separate class, not 'houses | cars | boats and items similar to boats')