The bookmarklet method uses a javascript for the PDFmyURL site. You can find this and several other bookmarklets (as well as how to create them) here:
http://www.ipadforums.net/ipad-faq/72353-guide-creating-safari-bookmarklets.html#post519309
If you have trouble making a bookmarklet ask for help. However, the most common problem is that the script gets fouled up in the copy and paste operation. It is sometimes necessary to manually edit the script to remove unwanted spaces or accidentally created emoji (smiley faces) that occur due to automatic changes in the text editor.
Bookmarkets require that you have JavaScript turned on in Settings > Safari.
There are also apps that will create a PDF from a web site. I have PDF Converter. This app will let you create PDF files from a variety of sources, including a web site. Each source and method is described in the app. Basically you are sending or copying the URL to the app, and it downloads and converts the site. Just that page though. Don't expect the entire site to magically become a PDF book.
If you have a computer, it is possible to print a PDF directly as a file. It's kind of a side benefit to using The Printopia (Mac) or FingerPrint apps. These apps are used to make your computer's non-airprint-compatible printers available to the iPad as AirPrint printers. Besides the printers themselves, you can set up folders on the computer to print to. The results are a PDF file.
I use this to save receipts from Mail to a folder of the same name on my computer. As a bonus you can even print to the folder from the computer for a PDF. I have another folder in my DropBox synced folders. This lets my print a file as a PDF and have it available (with some slight delay) to any app on the iPad that can access DropBox. Thats quite a few of my apps, actually.
So that's three methods to get a website page to PDF:
The bookmarklet for PDFmyURL is free.
The PDF Converter app is probably the most versatile.
The AirPrint enabling apps for the computer the most expensive, but can be very convenient workflow wise.
P.S.
There is no equivalent of a PDF Writer app for the iPad. The sandboxing of apps and the system make it impossible to modify system features (like printing) with another app. At least not on a stock iPad. It may be possible with a Jailbreak. I'm not familiar enough with all the jailbreak tweaks to guess whether it's an option or not.
