The ... implies that some further input is required to complete the action of the menu item.
So, "Save" means that the menu item will cause the document to save, whereas "Save..." implies that the user will need to enter the name, or choose a file format or something before the file will be saved.
Typically the further input is entered in a popup modal dialog, but (a) not every modal dialog is a prompt for further information, and (b) hypothetically some other input mechanism could be used.
The '...' implies that the user will be given the opportunity to back-out of the operation.
This was in a user interface guideline book I read back in 1995, I can't seem to find a definitive confirmation online anymore.