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When I am writing, and I want to leave something out, so that it gives an implied effect, I use this: ...

What is it called?

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ellipsis noun (plural ellipses)
the omission from speech or writing of a word or words that are superfluous or able to be understood from contextual clues.
• a set of dots indicating such an omission.

(New Oxford American Dictionary)

It is represented in Unicode by the glyph U+2026 HORIZONTAL ELLIPSIS: …

The details of typesetting ellipses is discussed briefly in the Wikipedia article linked above. In short, the decision is on how much space you put between the individual dots. This is a styling issue, which is settled by each publisher. (For example, in French, it is typical not to space them out more than three normal dots.)

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Thanks a lot! Just what I needed. – Thursagen May 31 '11 at 12:22
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FWIW, on the (standard) Mac keyboard, you can generate an … with [alt]+";". – Ben Hocking May 31 '11 at 12:57
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On Windows, you can type … with Alt+Num 0133 (i.e. hold down the [left] Alt key, type 0133 on the numeric keypad, then release the Alt key). – Marthaª May 31 '11 at 16:21
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Technically, they are called "points of ellipsis," and come in the 3- and 4-dot string. In professional typesetting, manuscript is prepared with manual periods - never the ellipsis character available in some typefaces - so that the typesetter can customize the space between the periods as required. – The Raven May 31 '11 at 19:30
@Martha, seriously cool, thanks! – Thursagen Jun 1 '11 at 6:02
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