Code:

function isInArray(value, array) {
  return array.indexOf(value) > -1;
}

Execution:

isInArray(1, [1,2,3]); // true

Update (2017):

In modern browsers which follow the ECMAScript 2016 (ES7) standard, you can use the function Array.prototype.includes, which makes it way more easier to check if an item is present in an array:

const array = [1, 2, 3];
const value = 1;
const isInArray = array.includes(value);
console.log(isInArray); // true

Update from 2019: This answer is from 2008 (11 years old!) and is not relevant for modern JS usage. The promised performance improvement was based on a benchmark done in browsers of that time. It might not be relevant to modern JS execution contexts. If you need an easy solution, look for other answers. If you need the best performance, benchmark for yourself in the relevant execution environments.

As others have said, the iteration through the array is probably the best way, but it has been proven that a decreasing while loop is the fastest way to iterate in JavaScript. So you may want to rewrite your code as follows:

function contains(a, obj) {
    var i = a.length;
    while (i--) {
       if (a[i] === obj) {
           return true;
       }
    }
    return false;
}

Of course, you may as well extend Array prototype:

Array.prototype.contains = function(obj) {
    var i = this.length;
    while (i--) {
        if (this[i] === obj) {
            return true;
        }
    }
    return false;
}

And now you can simply use the following:

alert([1, 2, 3].contains(2)); // => true
alert([1, 2, 3].contains('2')); // => false