Drupal 7 does this out of the box, with an option to aggregate and compress JS and CSS. I have not developed on Drupal 6 but would be incredibly surprised if there wasn't at least a community developed module to do this.
If I remember correctly this has been available out of the box at least since Drupal 5 up. Have worked on Drupal 5 and 6, don't remember using any custom module to do aggregation.