I think the usual way is that if "etc." comes at the end of the sentence, you only need one period. That's the way I've always seen it in books, newspapers, advertising copy, etc.
In all other cases, such as when "etc." is followed by a comma, a semicolon, etc., you normally need the period to go with "etc." and then the other punctuation mark.
It's more a question of basic readability: two periods ("etc..") looks like a horizontal ellipsis and suggests that the sentence is not actually finished.
I've also seen "etc" used without a period. I'm not sure how well accepted that is, but I don't think it's correct according to the formal rules.
On a related note, there is a difference in the use of the period after an abbreviation between British and American English. American English tends always to use the period; in British English, the period (or "full stop", as it is known in Britain) is usually omitted when the last letter of the abbreviation is also the last letter of the word it's an abbreviation of.
So, in British English you write "Mr", "Mrs" and "Dr", as they are abbreviations of "Master", "Mistress" and "Doctor" respectively, while Americans always write "Mr.", "Mrs." and "Dr.". Americans and Brits alike write "Prof.", "approx." and "Capt.", as they are abbreviations of "Professor", "approximately" and "Captain".
The abbreviation "etc.", however, is short for the Latin phrase "et cetera", and so the period should always be used.