It depends. <g>
1. Theoretically, if you insert a single-section document into another
document, it will bring with it only its text (and graphics), any direct
formatting (font or paragraph), and any unique styles (styles that are not
present in the target document). You will not get any document-level
formatting (header, footer, page setup, column setup, etc.).
2. If the inserted file contains multiple sections, all but the last will
bring all their section formatting (page size and orientation, margins,
columns, header/footer, etc.). The last section will take on the formatting
of the target document.
Where the theory breaks down is that if you insert a file into a fresh
document containing only the single default empty paragraph, it will
actually bring along all its formatting, including document/section-level
formatting. I consider this a bug, but in any case, the workaround is to
enter some text or at least press Enter a couple of times before using
Insert | File into an empty document.
For more, see
http://www.word.mvps.org/FAQs/Formatting/WorkWithSections.htm