For small amounts of code with timing-critical/etc issues, you can use inline assembler within gcc:
http://www.cs.mun.ca/~paul/cs4723/material/atmel/avr-libc-user-manual-1.6.5/inline_asm.html
Example:
http://www.arduino.cc/cgi-bin/yabb2/YaBB.pl?num=1257722764
There is currently no way to include "pure assembler" files within an Arduino sketch.
Arduino is not a particularly nice environment for writing assembler code (the gcc inline assembler does not match the Atmel assembler, and there is no debugger or simulator.)