Cockroaches: What can be done about them?

Rory already gave a very good answer, but here are some more points to consider:

• Be careful not to carry them back home. They are very difficult to eradicate once settled, and a few sneaking in between your stuff can be enough to infest your home for weeks or as long as there is something for them to eat. You might want to put all your stuff in a "quarantined zone" for a few days -- preferably air your clothes outside away from your house.
• Virtually nothing helps once they are present, the best you can do is to largely ignore them -- as Rory suggests, keep lights turned on at night (or off, for they won't bother you as much when you can't see them).
• Don't leave food outside. No need to give them additional opportunity to come out, and even the toughest of pests need to eat something. Anything that has stayed outside overnight is considered dirty and should be washed before use, including utensils and plates. Watch for tiny dark balls of unknown matter (similar to finely ground coffee in appearance) that gather around the corners and near food, this is a tell-tale sign that the little buggers are afoot.

• They don't like the cold much, and generally have hard time finding their way inside the fridge. However, they do tend to gather on the back of the fridge due to the warmth (which is one more proof that thermodynamics is indeed a b*tch). You'll find them in warm places, such as bathrooms, closets and service rooms with hot water pipes.

• From experience, there isn't an efficient way to eradicate them once they have infested the premises short of drastic measures. Pest sprays only get you so far, and against a horde of invaders won't be of much use.

They are not as dangerous as you (probably) think they are. Sure, people do get diseases from them from time to time but nothing drastic like mosquitoes and other more potent disease carriers.

I'm from a country where an encounter with a cockroach is unavoidable even in pretty upscale places. The other answers are correct, they are very hard to eradicate. Short of carpet bombing your home with chemical weapons, the best you can do is keep everything clean and don't leave any food uncovered. That said, some things do help to keep them away: insect sprays (usually applied under the sink and other nooks and crannies. Moth balls/camphor balls also seem to work.

Also to avoid carrying them back home, make sure to also watch out for their eggs. They look like coffee beans that aren't ground yet. These also have a tell tale (albeit subtle) smell.