In sending out an email from the announcment list, can you send attachments? E.g. Can I send out a PDF copy of my pricelist or catalog, or is considered better practice to have this on my web site, and just send a link?
No, you cannot send attachments to announcement lists. Doing so is considered kind of antisocial, as it can end up using up a lot of storage on mail servers receiving your announcements (since they often end up having to store one copy of the attachment for every user who received the message).
You’ve correctly guessed the preferred practice: upload the file to your web site and link to it in your announcement.