There are various ways of doing this... and the Drupal API lists the following:

drupal_add_js('misc/collapse.js');
drupal_add_js('misc/collapse.js', 'file');
drupal_add_js('jQuery(document).ready(function () { alert("Hello!"); });', 'inline');
drupal_add_js('jQuery(document).ready(function () { alert("Hello!"); });', array(
  'type' => 'inline'
  , 'scope' => 'footer'
  , 'weight' => 5
  )
);
drupal_add_js('http://example.com/example.js', 'external');
drupal_add_js(array('myModule' => array('key' => 'value')), 'setting');

If Javascript is need on all pages, then you can either add it in the .info file:

scripts[] = js/script.js
scripts[] = js/otherscript.js

It can also be done in the template.php file too.... as suggested by hdcwebteam

function MYTHEME_preprocess_page(&$variables) {
  drupal_add_js(drupal_get_path('theme', 'MYTHEME') .'/mytheme.js', 'file');
}

...or if adding script like CrazyEgg...

function MYTHEME_preprocess_page(&$variables) {

	$crazyEggScript = 'PASTE SCRIPT IN HERE';
	
	drupal_add_js($crazyEggScript, array(
		'type' => 'inline'
		, 'scope' => 'footer'
		, 'weight' => 5
		)
  	);
}