John, Henry, Tom, Dick and Harry all came to the party.
In this case we have a comma after all the names in the list except the last one which is introduced by and. However, this is British English. In American English a final comma is usually used:
John, Henry, Tom, Dick, and Harry all came to the party.
Note that this is a very general distinction. You'll see American writers leave the comma out and British writers put in the comma.
Using a final comma can help with understanding, resolve ambiguity, and, in those cases, should be used. For example take this sentence:
I went for a walk with my dogs, Joe and Pete.
Does this mean that the dogs are called Joe and Pete or that the speaker went for a walk with their dogs as well as two friends who were called Joe and Pete? By using the Oxford Comma this can be cleared up:
I went for a walk with my dogs, Joe, and Pete.
Which tells us that the speaker went for a walk with their dogs as well as Joe and Pete. However, the ambiguity can also be cleared up by rearranging the sentence:
I went for a walk with Joe, Pete and my dogs.
But of course in rearranging the sentence emphasis has now changed and it suggests that Joe and Pete are more important to the speaker than the dogs.
In the following example, quoted in The Times newspaper, inserting a comma would make the sentence much clearer:
...highlights of his global tour include encounters with Nelson Mandela, an 800-year-old demigod and a dildo collector.
This sentence above definitely needs a comma to help understanding! However, in the following case, the use of the serial comma actually causes ambiguity:
He dreamt about his wife, Hillary Clinton, and a duck.
Is his wife called Hillary Clinton? To clarify, if his wife isn't Hillary Clinton then it should be:
He dreamt about his wife, Hillary Clinton and a duck.
The term, Oxford Comma, comes from the practice of using this comma by printers, readers and editors at Oxford University Press. Some departments at OUP use the Oxford Comma, others do not.
Generally speaking most American style guides recommend using the comma always; most British and Australian style guides do not suggest using the comma.
However, the most useful advice we can give is to follow either the American or British pattern in most cases unless this leads to ambiguity when you should either drop or adopt the Oxford Comma to make things clear.