If you alloc something, it's just like you sent -retain to the object. So you release or autorelease it. If you do a copy or a mutableCopy, it's also the same as sending a retain. So you also release or autorelease it.
If you never sent a retain (or equivalent) method to an object, then by default it is autoreleased and will go away on its own. The following example doesn't need to be released explicitly since it has already been given an -autorelease message internally. (see NSArray Class Reference -> arrayWithObjects:)
NSArray * sampleList = [NSArray arrayWithObjects:@"One", @"Two", nil];
Also, in my code I always try to release an object instead of autoreleasing it as much as possible.
The actual mechanism here is that when you call -autorelease, a pointer to the object is added to a list kept by an NSAutoreleasePool. When that pool is deallocated, every object in the list gets a -release method. Thus -autorelease is a delayed -release.