Links to child pages are normally displayed in the sidebar or bottombar only (provided the Pages widget is activated). If you want links to child pages on the parent page itself, then in most themes you have to add them manually.
In the following themes such links show up automatically:
Brand New Day (top of page content)
Fauna (in a changing sidebar)
Misty Look (bottom of page)
Redoable Lite (below page title)
Regulus (in a changing sidebar)
(Also Unsleepable, but only if you don’t activate any widgets.)
In the following themes the standard [*] top nav menu (header page tabs) features dropdowns to child pages:
Brand New Day
Fresh & Clean
Strange Little Town
The Morning After
To exlude a child page from showing in a dropdown, you delete its title (after you copy the URL of the page so you can write a link to it where you need it).
Duotone displays tabs to level-one child pages in the header (below their parent).
[*] You can also create dropdowns using the newly introduced custom menu feature – see relevant Support doc for instructions.
Update December 2010: By now all themes with header tabs support custom menus.