Based on a WebmasterWorld.com CSS Forum:
The default margins on the <p> tag can vary in different browsers - it's perhaps best to override the defaults in your stylesheet in the very beginning. Although I'm currently using HTML4.01 Strict DOCTYPE and things all look pretty much the same at the mo.
This is paragraph 1
This is the 2nd paragraph, below the first one.
And this is the third and final paragraph, below the first two.