The methods mentioned above will work but... I think the best way is to make sure your object is on a transparent layer in photoshop with no background layer... save it as a .PSD (which will hold additional layers in place if needed even if they are turned off for later editing) and then use File>Place as Tamlin mentioned to get object in AI. You will need to keep the .AI file and the .PSD file in the same location (ie same directory) or if you move AI file to another location... it will break the link to the .PSD file and you will have to relink it or Place it again.
The nice thing about doing it this way... this allows you to go back and make updates to the .PSD file in Photoshop and have it updated in Illustrator. You can embed the .PSD file so you don't have to worry about 2 files to keep together but then you loose the quick editing and link with
PS then.
Also something to consider... if you have output settings for color set in
PS to get accurate color in printing... you may even need to create a clipping path in
PS around the object and save it as an .EPS and Place that into AI to retain that color info for set for output. I am not sure if .PSD files carry this info over or not.