Only for the best practitioners. We should stick to the semantic rules by using the following dots.
\documentclass[preview,border=12pt]{standalone}
\usepackage{amsmath}
\begin{document}
\begin{itemize}
\item \verb+\dotsc+ for comma separated element $A_1, A_2, \dotsc, A_{n-1}, A_n$.
\item \verb+\dotsb+ for binary operator $A_1 +A_2 + \dotsb + A_{n-1} + A_n$.
\item \verb+\dotsm+ for multiplication $A_1 A_2 \dotsm A_{n-1} A_n$.
\item \verb+\dotsi+ for integral $\int_{A_1} \int_{A_2} \dotsi \int_{A_{n-1}} \int_{A_n}$.
\item \verb+\dotso+ for others.
\end{itemize}
\end{document}

Advantages:
You can redefine the implementation for each dots above in the preamble whenever your institution ask you to change its behavior to meet its own adopted layout. If you use just \ldots and \cdots rather than the above semantic dots then you have to manually change them per equation --- as a result, this job makes your life boring.
\dots (general dots) versus \dots* (amsmath's semantically defined dots)
\documentclass[preview,border=12pt,varwidth]{standalone}
\usepackage{amsmath,xcolor}
\begin{document}
\begin{itemize}
\item (\verb+\dots+) $A_1, \dots, A_n$ \textcolor{red}{v.s.}\ $A_1, \dotsc, A_n$ (\verb+\dotsc+).
\item (\verb+\dots+) $A_1 + \dots + A_n$ \textcolor{red}{v.s.}\ $A_1 + \dotsb + A_n$ (\verb+\dotsb+).
\item (\verb+\dots+) $A_1 \dots A_n$ \textcolor{red}{v.s.}\ $A_1 \dotsm A_n$ (\verb+\dotsm+).
\item (\verb+\dots+) $\int_{A_1} \dots \int_{A_n}$ \textcolor{red}{v.s.}\ $\int_{A_1} \dotsi \int_{A_n}$ (\verb+\dotsi+).
\item (\verb+\dots+) \dots\ \textcolor{red}{v.s.}\ \dotso\ (\verb+\dotso+).
\end{itemize}
\end{document}

\cdots. It works. – Sigur Nov 27 '13 at 00:30\dotsplaces an ellipsis correct, so I'm wondering if I'm wong in my assumption or I've found an error. (I guess it's the first.) – Svend Tveskæg Nov 27 '13 at 00:36\dotsin a math expression in LaTeX, the ellipsis is almost always placed correct, so I think I might be wrong in assuming that the ellipsis in the example should be vertically centered. What is correct? – Svend Tveskæg Nov 27 '13 at 00:41\dots*– Werner Nov 27 '13 at 00:42\dotslooks ahead to see what follows and based on that decides whether to use certain dots. The decision is based on whether the following element is\mathbin, or\mathrel, or ... And(does not provide\mathrelor\mathbin(the only two leading to\dotsmor\dotsb- a vertical adjustment of the dots). – Werner Nov 27 '13 at 00:48\dotsmhere. – kiss my armpit Nov 27 '13 at 01:01\def\rightdelim@{\gtest@true \ifx\@let@token)\else \ifx\@let@token]\else \ifx\@let@token\rbrack\else \ifx\@let@token\}\elseto special case known delimiters and the entire\DOTS?mechanism so that it can be affected by the preceding token. (not that it makes any difference in this case:-) – David Carlisle Nov 27 '13 at 01:22